Showing 1 - 10 of 1,685
We study the transmission of liquidity shocks in a dynamic general equilibrium model where firms and households are … subject to liquidity risk. The provision of liquidity services is undertaken by financial intermediaries that allocate the … stock of liquid asset between the different sectors of the economy. We find that the macroeconomic effects of liquidity …
Persistent link: https://www.econbiz.de/10013086095
We study the dynamics of a Lucas-tree model with finitely lived agents who "learn from experience." Individuals update expectations by Bayesian learning based on observations from their own lifetimes. In this model, the stock price exhibits stochastic boom-and-bust fluctuations around the...
Persistent link: https://www.econbiz.de/10013119137
speculative trading increases. As a result, market liquidity deteriorates and short-term volatility rises. Our findings hold for a …
Persistent link: https://www.econbiz.de/10012868588
We study optimal liquidity management, innovation, and production decisions for a continuum of firms facing financing …
Persistent link: https://www.econbiz.de/10012988600
This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we …-`a-vis government bonds can be attributed to differences in liquidity premia. Adding the information on risk-free rates, we obtain model …
Persistent link: https://www.econbiz.de/10013106056
During 2005-2006, the Chinese government implemented a reform aimed at eliminating the so-called non-tradable shares (NTS) typically held by the State or by politically connected institutional investors that were issued at the early stage of financial market development. Our analysis, based on...
Persistent link: https://www.econbiz.de/10013125357
We decompose the squared VIX index, derived from US S&P500; options prices, into the conditional variance of stock returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce an accurate measure of the conditional variance. We then...
Persistent link: https://www.econbiz.de/10013054678
busts, and analyses equity market reforms and excess liquidity as potential drivers of these stock price misalignments. Our … liquidity, seem to have significantly contributed to these misalignments …
Persistent link: https://www.econbiz.de/10013316212
I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex-ante and are subject to … fire sales ex-post. I demonstrate that precautionary liquidity restores multiple equilibria in a global rollover game. An … intermediate liquidity level supports both the usual run equilibrium and an efficient equilibrium. I provide a uniqueness …
Persistent link: https://www.econbiz.de/10013056186
This paper investigates the efficiency of various monetary policy instruments to stabilize asset prices in a liquidity … dynamics. Increasing the supply of reserves reduces liquidity risk in the traditional banking sector, but fails to reach the …
Persistent link: https://www.econbiz.de/10012844931