Financial cycles in asset markets and regions
نویسندگان
چکیده
منابع مشابه
Asset-asset interactions and clustering in financial markets
The collective phenomena of a liquid market is characterized in terms of a particle system scenario. This physical analogy enables us to disentangle intrinsic features from purely stochastic ones. The latter are the result of environmental changes due to a ‘heat bath’ acting on the many-asset system, quantitatively described in terms of a time dependent effective temperature. The remaining intr...
متن کاملFinancial Frictions and Segmented Asset Markets
This issue is devoted in large part to summaries of the sessions of our conference on “Financial Frictions and Segmented Asset Markets.” Different approaches have been used to incorporate financial market imperfections into tractable general equilibrium models, emphasizing different frictions in asset markets: lack of commitment in financial contracts, limited participation and market segmentat...
متن کاملHerd Behavior and Nonfundamental Asset Price Fluctuations in Financial Markets
In this paper we investigate the effects of herding on asset price dynamics during continuous trading. We focus on the role of interaction among traders, and we investigate the dynamics emerging when we allow for a tendency to mimic the actions of other investors, that is, to engage in herd behavior. The model, built as a mean field in a binary setting (buy/sell decisions of a risky asset), is ...
متن کاملCognitive Biases, Ambiguity Aversion and Asset Pricing in Financial Markets∗
The behavior of agents in financial markets often displays biases or errors; for example, agents frequently do not compute probabilities correctly. However, we argue that these biases/errors are not always reflected in prices. In particular, we hypothesize that agents who make errors in computing probabilities lose confidence in their probability estimates when they face market prices that are ...
متن کاملOptimal Asset Taxes in Financial Markets with Aggregate Uncertainty
This paper studies Pareto-optimal risk-sharing arrangements in a private information economy with aggregate uncertainty and ex ante heterogeneous agents. I show how to implement Pareto optima as equilibria when agents can trade claims to consumption contingent on aggregate shocks in financial markets. The first result is that if aggregate and idiosyncratic shocks are independent, the implementa...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Economic Modelling
سال: 2020
ISSN: 0264-9993
DOI: 10.1016/j.econmod.2020.01.015