Financial crises originate in debt markets, where beliefs formation about asset values affects the value of collateral, hence the leverage cycles. We introduce novel state-contingent ambiguity attitudes, which endogenously induce pessimism in recessions and optimism in booms, in a model with occasionally binding collateral constraints and exogenous debt supply. Ambiguity is measured in the data through GMM estimation of the Euler equations, and delivers over-extrapolative behaviors through forecasters' beliefs' wedges and forecast errors. Analytically and numerically (global methods), it is shown that the model explains asset price and debt cycle facts. Optimism heightens the build-up of debt and asset prices prior to a crisis event and enhances leverage pro-cyclicality; pessimism heightens the de-leveraging following it.

中文翻译：

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模糊态度和杠杆周期


金融危机起源于债务市场，对资产价值的信念形成影响抵押品的价值，从而影响杠杆周期。我们引入了新颖的状态相关的模糊态度，这种态度在偶尔具有约束力的抵押品约束和外生债务供应的模型中内生地引发衰退时的悲观情绪和繁荣时的乐观情绪。数据中的模糊性是通过欧拉方程的 GMM 估计来衡量的，并通过预测者的信念楔子和预测误差提供过度外推行为。通过分析和数值（全局方法），表明该模型解释了资产价格和债务周期事实。乐观情绪会在危机事件发生前加剧债务和资产价格的上涨，并增强杠杆的顺周期性；悲观情绪加剧了随之而来的去杠杆化。