| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w8683 |
| 来源ID | Working Paper 8683 |
| Model Uncertainty and Liquidity | |
| Bryan R. Routledge; Stanley E. Zin | |
| 发表日期 | 2001-12-20 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | Extreme market outcomes are often followed by a lack of liquidity and a lack of trade. This market collapse seems particularly acute for markets where traders rely heavily on a specific empirical model such as in derivative markets. Asset pricing and trading, in these cases, are intrinsically model dependent. Moreover, the observed behavior of traders and institutions that places a large emphasis on 'worst-case scenarios'' through the use of 'stress testing'' and 'value-at-risk'' seems different than Savage rationality (expected utility) would suggest. In this paper we capture model-uncertainty explicitly using an Epstein-Wang (1994) uncertainty-averse utility function with an ambiguous underlying asset-returns distribution. To explore the connection of uncertainty with liquidity, we specify a simple market where a monopolist financial intermediary makes a market for a propriety derivative security. The market-maker chooses bid and ask prices for the derivative, then, conditional on trade in this market, chooses an optimal portfolio and consumption. We explore how uncertainty can increase the bid-ask spread and, hence, reduces liquidity. In addition, 'hedge portfolios'' for the market-maker, an important component to understanding spreads, can look very different from those implied by a model without Knightian uncertainty. Our infinite-horizon example produces short, dramatic decreases in liquidity even though the underlying environment is stationary. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w8683 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/566290 |
| 推荐引用方式 GB/T 7714 | Bryan R. Routledge,Stanley E. Zin. Model Uncertainty and Liquidity. 2001. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w8683.pdf（1353KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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