منابع مشابه
Amplification Mechanisms in Liquidity Crises
I describe two amplifications mechanisms that operate during liquidity crises and discuss the scope for central bank policies during crises as well as preventive policies in advance of crises. The first mechanism works through asset prices and balance sheets. A negative shock to the balance sheets of asset-holders causes them to liquidate assets, lowering prices, further deteriorating balance s...
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a r t i c l e i n f o Sovereign debt crises in emerging markets are usually associated with liquidity and banking crises. The conventional view is that the domestic turmoil is the consequence of foreign retaliation, although there is no clear empirical evidence on " classic " default penalties. This paper emphasizes, instead, a direct link between sovereign defaults and liquidity crises buildin...
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We present an empirical analysis of the microstructure of financial markets and, in particular, of the static and dynamic properties of liquidity. We find that on relatively large time scales (15 min) large price fluctuations are connected to the failure of the subtle mechanism of compensation between the flows of market and limit orders: in other words, the missed revelation of the latent orde...
متن کاملEpisodic Liquidity Crises: Cooperative and Predatory Trading
We describe how episodic illiquidity arises from a breakdown in cooperation between market participants. We first solve a one-period trading game in continuous-time, using an asset pricing equation that accounts for the price impact of trading. Then, in a multi-period framework, we describe an equilibrium in which traders cooperate most of the time through repeated interaction, providing appare...
متن کاملDefault, liquidity and crises: an econometric framework∗
In this paper, extending the work by Gourieroux, Monfort and Polimenis (2006) [78], we present a general discrete-time affine framework aimed at jointly modeling yield curves that are associated with different issuers. The underlying fixed-income securities may differ in terms of credit quality and/or in terms of liquidity. The risk factors follow discrete-time Gaussian processes, with drifts a...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2009
ISSN: 1556-5068
DOI: 10.2139/ssrn.1511622