The Asian Financial Crisis and Investors’ Risk Aversion

Nishiyama, Yasuo

doi:10.1007/s10690-007-9041-1

“…Nishiyama (2006) finds more risk aversion on the part of financial institutions in the United States and (weakly) in Asia following the 1997 Asian crisis, although direct causality is difficult to tease out. Mudd.…”

Section: Literature Reviewmentioning

confidence: 99%

Shifting Confidence in Homeownership: The Great Recession

Bracha

¹

,

Jamison

²

2012

The B.E. Journal of Macroeconomics

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. The authors study the responses to several questions related to real estate that were added to the Michigan Survey of Consumers in July and August 2011. In particular, they asked about attitudes toward renting versus buying a home, about commuting, and about how much to spend on a mortgage. By matching the results to data (at the ZIP-code level) about relative house price declines during the recent crisis, they can study the relationship between the U.S. housing crash and the attitudes of individual consumers. They find that younger respondents are relatively less confident about homeownership after larger price declines, while older respondents are relatively more confident. In both cases, this is observed only for those with direct experience of loss (via themselves or someone close) during the crash. They find no effect on attitudes towards commuting, and they find that people who live in the high-decline areas believe it is appropriate to spend more on a mortgage. Terms of use: Documents in EconStor may

show abstract

“…Indeed, field experiments suggest that lifechanging crises may affect risk preferences. Nishiyama (2006) claims that the Asian crisis of 1997 led to a persistent increase in US banks' risk aversion. Callen et al (2014) and Kim and Lee (2014) claim that elicited risk aversion increases after exposure to violence or war.…”

Section: Discussionmentioning

confidence: 99%

Does exposure to unawareness affect risk preferences? A preliminary result

Ma

¹

,

Schipper

²

2017

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. One fundamental assumption often made in the literature on unawareness is that risk preferences are invariant to changes of awareness. We study how exposure to unawareness aects choices under risk. Participants in our experiment choose repeatedly between varying sure outcomes and a lottery in 3 phases. All treatments are exactly identical in phase 1 and phase 3, but dier in phase 2. There are ve dierent treatments pertaining to the lottery faced in phase 2: The control treatment (i.e., a standard lottery), the treatment with awareness of unawareness of lottery outcomes but known number of outcomes, the treatment with awareness of unawareness of outcomes but with unknown number of outcomes, the treatment with unawareness of unawareness of some outcomes, and the treatment with an ambiguous lottery. We study both whether behavior diers in phase 3 across treatments (between subjects eect) and whether dierences of subjects' behavior between phases 1 and phase 3 diers across treatments (within subject eects). We observe no signi cant treatment eects. Abstract One fundamental assumption often made in the literature on unawareness is that risk preferences are invariant to changes of awareness. We study how exposure to unawareness affects choices under risk. Participants in our experiment choose repeatedly between varying sure outcomes and a lottery in 3 phases. All treatments are exactly identical in phase 1 and phase 3, but differ in phase 2. There are five different treatments pertaining to the lottery faced in phase 2: The control treatment (i.e., a standard lottery), the treatment with awareness of unawareness of lottery outcomes but known number of outcomes, the treatment with awareness of unawareness of outcomes but with unknown number of outcomes, the treatment with unawareness of unawareness of some outcomes, and the treatment with an ambiguous lottery. We study both whether behavior differs in phase 3 across treatments (between subjects effect) and whether differences of subjects' behavior between phases 1 and phase 3 differs across treatments (within subject effects). We observe no significant treatment effects. Terms of use: Documents in

show abstract

“…Malmendier and Nagel (2011), for example, show that periods of macroeconomic uncertainty (like the Great Depression) decreases people's willingness to take financial risks in the long run. Nishiyama (2006) demonstrates that the Asian crisis of 1997 seems to have led to a persistent increase in US banks' risk aversion. And Callen et al (2014) and Kim and Lee (2014) show that elicited risk aversion increases after exposure to violence or war.…”

Section: Motivation and Outlinementioning

confidence: 99%

“…Previous research has used field data to demonstrate that risk-taking behavior is affected by periods of macroeconomic uncertainty (Malmendier and Nagel, 2011), financial crises (Nishiyama, 2006) or exposure to violence and war (Callen et al, 2014;Kim and Lee, 2014). However, it is difficult to establish in field studies whether such effects are due to an increase in risk aversion or to updated priors or other reasons.…”

Section: Related Literaturementioning

confidence: 99%

Past experience of uncertainty affects risk aversion

Mengel

¹

,

Tsakas

²

,

Vostroknutov

³

2015

View full text Add to dashboard Cite

In an experiment with more than 500 participants we study how past experience of uncertainty (imperfect knowledge of the state space) affects risk preferences. Participants in our experiment choose between a sure outcome and a lottery in 32 periods. All treatments are exactly identical in periods 17 to 32 but differ in periods 1 to 16. In the early periods of the Risk Treatment there is perfect information about the lottery; in the Ambiguity Treatment participants perfectly know the outcome space but not the associated probabilities; in the Unawareness Treatment participants have imperfect knowledge about both outcomes and probabilities. We observe strong treatment effects on behavior in periods 17 to 32. In particular, participants who have been exposed to an environment with very imperfect knowledge of the state space subsequently choose lotteries with high (low) variance less (more) often compared to other participants. Estimating individual risk attitudes from choices in periods 17 to 32 we find that the distribution of risk attitude parameters across our treatments can be ranked in terms of first order stochastic dominance. Our results show how exposure to environments with different degrees of uncertainty can affect individuals' subsequent risk-taking behavior. JEL classification: D80, D81, C91

show abstract

The Asian Financial Crisis and Investors’ Risk Aversion

Abstract: Asian financial crisis, Relative risk aversion, Banks, Chow test, Time-varying parameter model,

Cited by 9 publications

References 39 publications

Shifting Confidence in Homeownership: The Great Recession

Shifting Confidence in Homeownership: The Great Recession

Does exposure to unawareness affect risk preferences? A preliminary result

Past experience of uncertainty affects risk aversion

Contact Info

Product

Resources

About