| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5530 |
| DP5530 Fear of Floating and Fear of Pegging: An Empirical Analysis of De Facto Exchange Rate Regimes in Developing Countries | |
| Jurgen von Hagen; Jizhong Zhou | |
| 发表日期 | 2006-03-02 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | We provide the impact on asset prices of search-and-bargaining frictions in over-the-counter markets. Under certain conditions, illiquidity discounts are higher when counterparties are harder to find, when sellers have less bargaining power, when the fraction of qualified owners is smaller, or when risk aversion, volatility, or hedging demand are larger. Supply shocks cause prices to jump, and then 'recover' over time, with a time signature that is exaggerated by search frictions. We discuss a variety of empirical implications. |
| 主题 | Financial Economics |
| 关键词 | Search Bargaining Liquidity Risk Asset pricing |
| URL | https://cepr.org/publications/dp5530 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534374 |
| 推荐引用方式 GB/T 7714 | Jurgen von Hagen,Jizhong Zhou. DP5530 Fear of Floating and Fear of Pegging: An Empirical Analysis of De Facto Exchange Rate Regimes in Developing Countries. 2006. |
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