The Information Risk in the Latest Crisis: A Driver or a Driven Factor for Global Financial Markets Equilibrium?

Posted: 19 Mar 2011 Last revised: 8 Oct 2012

See all articles by Guido Max Mantovani

Guido Max Mantovani

International University of Monaco; Ca' Foscari University in Venice – Department of Management

Giorgio Stefano Bertinetti

Ca Foscari University of Venice - Department of Management

Date Written: March 15, 2011

Abstract

The latest financial crisis has been impressive for strength, impact, duration and reduced efficacy of the economic and financial policies adopted by the Authorities. We use an original information risk model to contribute to the analysis of the crisis and to suggest some approaches for a possible early diagnosis. Using data referred to the three main financial markets and comparing the latest crisis with the previous one and with a long term quantitative evidence, we find out that the 2007-2009 crisis was very different in the information risk quality. That gap affected the market risk aversion and its equilibrium, reducing the efficacy of the Authorities’ intervention tools mainly based on payoff risk control and efficient market restoration. Since information risk is an endogenous element of the market dynamics that can be independent form contingent levels of market efficiency. Drivers of information risk in the European Markets differed strongly from the US and Japanese ones; that’s why some global decision had low impact while opportunities of local intervention was missed.

Keywords: Financial Crisis, Information Asymmetries, Risk Premia

JEL Classification: G14, G32, M48, M49

Suggested Citation

Mantovani, Guido Max and Bertinetti, Giorgio Stefano, The Information Risk in the Latest Crisis: A Driver or a Driven Factor for Global Financial Markets Equilibrium? (March 15, 2011). Available at SSRN: https://ssrn.com/abstract=1787402 or http://dx.doi.org/10.2139/ssrn.1787402

Guido Max Mantovani (Contact Author)

International University of Monaco ( email )

14, Rue Hubert Clerissi
Stella Palace
Monaco, Monaco MC-98000
Monaco

Ca' Foscari University in Venice – Department of Management ( email )

Cannaregio 873
Venice, Veneto 30123
Italy
0039-041-2348727 (Phone)
0039-041-2348701 (Fax)

HOME PAGE: http://www.unive.it/management

Giorgio Stefano Bertinetti

Ca Foscari University of Venice - Department of Management ( email )

San Giobbe, Cannaregio 873
Venice, 30121
Italy

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