NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Flight to Quality and Collective Risk Management

Ricardo J. Caballero, Arvind Krishnamurthy

NBER Working Paper No. 12136
Issued in April 2006

---- Acknowledgments ----

We are grateful to Marios Angeletos, Olivier Blanchard, Phil Bond, Jon Faust, Xavier Gabaix, Jordi Gali, Michael Golosov, William Hawkins, Burton Hollifield, Bengt Holmstrom, Dimitri Vayanos, Ivan Werning and seminar participants at Columbia, DePaul, Imperial College, LBS, Northwestern, MIT, Wharton, NY Fed Liquidity Conference, NBER MIDM Conference, UBC Summer Conference, Bank of England, and the Central Bank of Chile for their comments. David Lucca and Alp Simsek provided excellent research assistance. Caballero thanks the NSF for financial support. This paper covers the same substantive issues as (and hence replaces) "Financial System Risk and Flight to Quality," NBER WP #11996 (2005) with a simpler but more abstract model. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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