| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14119 |
| 来源ID | Working Paper 14119 |
| Crashes and Recoveries in Illiquid Markets | |
| Ricardo Lagos; Guillaume Rocheteau; Pierre-Olivier Weill | |
| 发表日期 | 2008-06-20 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | We study the dynamics of liquidity provision by dealers during an asset market crash, described as a temporary negative shock to investors aggregate asset demand. We consider a class of dynamic market settings where dealers can trade continuously with each other, while trading between dealers and investors is subject to delays and involves bargaining. We derive conditions on fundamentals, such as preferences, market structure and the characteristics of the market crash (e.g., severity, persistence) under which dealers provide liquidity to investors following the crash. We also characterize the conditions under which dealers incentives to provide liquidity are consistent with market efficiency. |
| 主题 | Microeconomics ; Game Theory ; Economics of Information ; Macroeconomics ; Money and Interest Rates ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w14119 |
| 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/571795 |
| 推荐引用方式 GB/T 7714 | Ricardo Lagos,Guillaume Rocheteau,Pierre-Olivier Weill. Crashes and Recoveries in Illiquid Markets. 2008. |
| 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 | ||
| w14119.pdf（502KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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