Fostel, Ana; Geanakoplos, John - Cowles Foundation for Research in Economics, Yale University - 2013
, and how it depends on volatility. We describe the dynamic feedback properties of leverage, volatility, and asset prices …, including contagion, flight to collateral, and swings in the issuance volume of the highest quality debt. We explain the … cycle in which asset prices display clustered volatility and fat tails even though all the shocks are essentially Gaussian. …