.e., REITs) and financial markets in the United States. We test for three financial mechanisms driving contagion: Information … that this is driven by behavioral and liquidity mechanisms. The correlated information and portfolio rebalancing hypotheses …

We develop a new theory of information production during credit booms. In our model, entrepreneurs need credit to … themselves from such diversion in two ways: collateralization and costly screening, which generates durable information about … accumulates physical capital but depletes information about investment projects. As a result, collateral-driven booms end in deep …

of multivariate financial returns, including volatility clustering, dynamics in the dependency structure, asymmetry …

further detail. Our conclusion is that unsustainable price dynamics leading to an unstable bubble, fuelled by quantitative … predictable to some degree based on the endogenous price dynamics. Following the crash, a fast recovery of the price to pre …