| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6212 |
| DP6212 Computable Markov-Perfect Industry Dynamics: Existence, Purification, and Multiplicity | |
| Ulrich Doraszelski; Mark Satterthwaite | |
| 发表日期 | 2007-03-23 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | We provide a model that links an asset's market liquidity - i.e., the ease with which it is traded - and traders' funding liquidity - i.e., the ease with which they can obtain funding. Traders provide market liquidity, and their ability to do so depends on their availability of funding. Conversely, traders' funding, i.e., their capital and the margins they are charged, depend on the assets' market liquidity. We show that, under certain conditions, margins are destabilizing and market liquidity and funding liquidity are mutually reinforcing, leading to liquidity spirals. The model explains the empirically documented features that market liquidity (i) can suddenly dry up, (ii) has commonality across securities, (iii) is related to volatility, (iv) is subject to 'flight to quality', and (v) comoves with the market, and it provides new testable predictions. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Counterparty credit risk Leverage Liquidity risk management Margins Systemic risk Value-at-risk |
| URL | https://cepr.org/publications/dp6212 |
| 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/535047 |
| 推荐引用方式 GB/T 7714 | Ulrich Doraszelski,Mark Satterthwaite. DP6212 Computable Markov-Perfect Industry Dynamics: Existence, Purification, and Multiplicity. 2007. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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