Search Results - subject:"Endogenous Liquidity"

Geromichalos, Athanasios; Herrenbrueck, Lucas; Lee, … - 2024

We build on recent developments in the theory of money and liquidity to provide a qualitative and quantitative explanation for the well-known TIPS illiquidity vis-'a-vis non-inflation-protected Treasuries. Our model does not assume exogenous differences between the markets where the two assets...

Persistent link: https://www.econbiz.de/10015405080

Liquidity regulation in a monetary economy

Aquino, Juan Carlos - 2020

Persistent link: https://www.econbiz.de/10012420201

Financial Deepening and Monetary Growth with Endogenous Liquidity Constraints

Shaw, Ming-fu; Lai, Ching-chong - In: Journal of Economics and Management 9 (2013) 1, pp. 1-12

This paper sets up a monetary growth model with an endogenous liquidity constraint on consumption, and uses it to …

Persistent link: https://www.econbiz.de/10010630734

Estimating endogenous liquidity using transaction and order book information

Durand, Philippe; Gündüz, Yalin; Thomazeau, Isabelle - 2012

-sized transactions, from endogenous liquidity, which we interpret as the impact of liquidity on market prices when liquidating larger … positions. Endogenous liquidity measures the risk that the realized price of a transaction may be different from the price … before the transaction. We apply an endogenous liquidity-based model to order books and credit default swap (CDS …

Persistent link: https://www.econbiz.de/10010310944

Estimating endogenous liquidity using transaction and order book information

Durand, Philippe; Gündüz, Yalin; Thomazeau, Isabelle - Deutsche Bundesbank - 2012

Persistent link: https://www.econbiz.de/10010984717

Liberalized Markets Have More Stable Exchange Rates: Short-Run Evidence from Four Transition Countries

Bulíø, Aleš - In: Czech Journal of Economics and Finance (Finance a uver) 55 (2005) 5-6, pp. 206-231

The paper looks at the hypothesis that financial-market liberalization can create a basis for more stable exchange rates, as deviations of exchange rates from equilibrium levels bring forth stabilizing flows of liquidity. This hypothesis suggests that opening up financial markets militates in...

Persistent link: https://www.econbiz.de/10005673576

Some Exchange Rates Are More Stable than Others: Short-Run Evidence from Transition Countries

Bulir, Ales - Česká Národní Banka - 2003

The paper investigates empirically the endogenous liquidity nexus of exchange rate determination on a sample of four …

Persistent link: https://www.econbiz.de/10005405573

Contrat dynamique de partage de risque avec contraintes d'engagement et épargne

Gobert, Karine; Poitevin, Michel - Centre Interuniversitaire de Recherche en Analyse des … - 1997

This paper studies the effect of combining different insurance schemes on the efficiency of consumption smoothing in an environment without commitment. A savings account is introduced into the self-enforcing risk-sharing model of Thomas and Worrall (1988). The risk averse agent's savings play...

Persistent link: https://www.econbiz.de/10005100656