Self-Fulfilling Risk Panics
---- Acknowledgements -----
We would like to thank Daniel Cohen, Luca Dedola, Stefan Gerlach, Paul Klein, Jaume Ventura, and audience members at the 2010 Bundesbank Annual Conference, the 2010 European Summer Symposium in International Macroeconomics, the ECB, NYFed, Dallas Fed, PSE, Cambridge, St. Andrews, Lausanne, Carlos III and the Hong Kong Monetary Authority for useful comments and discussions. We gratefully acknowledge financial support from the National Science Foundation (grant SES-0649442), the Hong Kong Institute
for Monetary Research, the National Centre of Competence in Research "Financial Valuation and Risk Management" (NCCR FINRISK), and the Swiss Finance Institute. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.