I present a dynamic general equilibrium model in which commonality in bank assets endogenously changes over the business cycle and shapes systemic risk. To reduce individual risks, banks diversify, increasing portfolio overlap and hence the similarity of their exposures to fundamental shocks. Systemic financial crises burst at the end of credit booms when productive investment opportunities are exhausted, banks' diversification incentives are strong, and their portfolios are highly correlated. A calibrated model is able to match key moments related to frequency, severity, and the economy's behavior around systemic crises.

中文翻译：

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繁荣、萧条和常见风险敞口

我提出了一个动态一般均衡模型，其中银行资产的共性随着商业周期而内生变化并形成系统性风险。为了降低个人风险，银行进行多元化投资，增加投资组合重叠，从而增加其面临基本面冲击的相似性。系统性金融危机在信贷繁荣末期爆发，此时生产性投资机会耗尽，银行多元化激励强烈，且其投资组合高度相关。经过校准的模型能够匹配与系统性危机的频率、严重程度和经济行为相关的关键时刻。