| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP10436
|
| DP10436 The Dynamics of Financially Constrained Arbitrage |
| Denis Gromb; Dimitri Vayanos
|
| 发表日期 | 2015-02-22
|
| 出版年 | 2015
|
| 语种 | 英语
|
| 摘要 | We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital, liquidity, and asset prices. Arbitrageurs exploit price discrepancies between assets traded in segmented markets, and in doing so provide liquidity to investors. A collateral constraint limits their positions as a function of capital. We show that the dynamics of arbitrage activity are self-correcting: following a shock that depletes arbitrage capital, profitability increases, and this allows capital to be gradually replenished. Spreads increase more and recover faster for more volatile trades, although arbitrageurs cut their positions in these trades the least. When arbitrage capital is more mobile across markets, liquidity in each market generally becomes less volatile, but the reverse may hold for aggregate liquidity because of mobility-induced contagion. |
| 主题 | Financial Economics
|
| 关键词 | Arbitrage
Financial constraints
Financial crises
Liquidity
|
| URL | https://cepr.org/publications/dp10436
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539267
|
推荐引用方式
GB/T 7714 |
Denis Gromb,Dimitri Vayanos. DP10436 The Dynamics of Financially Constrained Arbitrage. 2015.
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