منابع مشابه
Liquidity Risk and Contagion
This paper explores liquidity risk in a system of interconnected financial institutions when these institutions are subject to regulatory solvency constraints and mark their assets to market. When the market’s demand for illiquid assets is less than perfectly elastic, sales by distressed institutions depress the market prices of such assets. Marking to market of the asset book can induce a furt...
متن کاملLiquidity, Contagion and Financial Crisis1
In this paper we study the link between liquidity, firms’ access to external finance, and the real economy. We show that there is a feedback mechanism from collateral requirements to the fire-sale price of capital goods. As a result, an “abnormality” appears whereby supply and demand for liquidity both slope in the same direction. This generates a “multiplier” that amplifies the effect of exter...
متن کاملIlliquidity Contagion and Liquidity Crashes∗
Liquidity providers in a security often use prices of other securities as a source of information to set their quotes. As a result, liquidity is higher when prices are more informative. In turn, prices are more informative when liquidity is higher. We show that this self-reinforcing relationship between price informativeness and liquidity is a source of contagion and fragility: a small drop in ...
متن کاملCorrelated liquidity shocks, ...nancial contagion and asset price dynamics
Recent literature shows how the destabilising e¤ect of portfolio insurance activity on the price of the underlying asset depends on the liquidity of the asset market. We build a simple model where market timers shift capital around asset markets in order to exploit gains from temporary excess-volatility of asset prices. In this way, market timers increase the liquidity of asset markets reducing...
متن کاملVolume, liquidity, and liquidity risk ¬リニ
Many classes of microstructure models, as well as intuition, suggest that it should be easier to trade when markets are more active. In the data, however, volume and liquidity seem unrelated over time. This paper offers an explanation for this fact based on a simple frictionless model in which liquidity reflects the average risk-bearing capacity of the economy and volume reflects the changing c...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2005
ISSN: 1556-5068
DOI: 10.2139/ssrn.824166