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来源类型Working Paper
规范类型报告
DOI10.3386/w17876
来源IDWorking Paper 17876
Dynamic Adverse Selection: A Theory of Illiquidity, Fire Sales, and Flight to Quality
Veronica Guerrieri; Robert Shimer
发表日期2012-03-01
出版年2012
语种英语
摘要We develop a dynamic equilibrium model of asset markets affected by adverse selection. There exists a unique equilibrium where better assets trade at higher prices but in less liquid markets. Sellers of high-quality assets can separate because they are more willing to accept a lower trading probability. As a result, the emergence of adverse selection generates a drop in liquidity. It may also lead to a decline in the price-dividend ratio--a fire sale--and a flight to quality. Subsidies to purchasing assets may be Pareto improving and can reverse the fire sale and flight to quality.
主题Microeconomics ; Economics of Information ; Macroeconomics ; Money and Interest Rates ; Financial Economics ; Financial Markets
URLhttps://www.nber.org/papers/w17876
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/575551
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Veronica Guerrieri,Robert Shimer. Dynamic Adverse Selection: A Theory of Illiquidity, Fire Sales, and Flight to Quality. 2012.
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