G2TT
来源类型Discussion paper
规范类型论文
来源IDDP6212
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
URLhttps://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。
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Ulrich Doraszelski]的文章
[Mark Satterthwaite]的文章
百度学术
百度学术中相似的文章
[Ulrich Doraszelski]的文章
[Mark Satterthwaite]的文章
必应学术
必应学术中相似的文章
[Ulrich Doraszelski]的文章
[Mark Satterthwaite]的文章
相关权益政策
暂无数据
收藏/分享

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。