Backus, David; Foresi, Silverio; Wu, Liuren - EconWPA - 2002
This paper presents a model on contagion in nancial markets. We use a bank run framework as a mechanism to initiate a … model proposes that a crisis is more likely to be contagious when (1) banks have similar cost-effciency structures … decision made by the banks. It increases with (1) the prospect of the risky asset (risk-return trade-off) and (2) the fraction …