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Biais, Bruno; Glosten, Larry; Spatt, Chester S - C.E.P.R. Discussion Papers - 2002

regulation of competition between liquidity suppliers or exchanges. …

Persistent link: https://www.econbiz.de/10005788974

Liquidity When It Matters Most: QE and Tobin’s q

Driffill, John; Miller, Marcus - C.E.P.R. Discussion Papers - 2011

liquidity shock can rapidly lead to Keynesian-style demand failure. Optimistic expectations may speed recovery, but simulation …How and why do financial conditions matter for real outcomes? The ‘workhorse model of money and liquidity’ of Kiyotaki … results suggest that prompt liquidity infusion by the central bank--i.e. Quantitative Easing--is needed to check prolonged …

Persistent link: https://www.econbiz.de/10009275964

Bid-Ask Spreads with Indirect Competition among Specialists

Gehrig, Thomas; Jackson, Matthew O. - C.E.P.R. Discussion Papers - 1997

We examine the bid-ask quotes offered by specialists (or dealers) who face indirect competition from other specialists who trade in related assets. In the context of a simple model where investors have mean variance preferences, we characterize the equilibrium bids and asks quoted by K...

Persistent link: https://www.econbiz.de/10005504767

Imperfect Market Monitoring and SOES Trading

Foucault, Thierry; Röell, Ailsa A; Sandås, Patrik - C.E.P.R. Discussion Papers - 1999

We develop a model of price formation in a dealership market where monitoring of the information flow requires costly effort. The result is imperfect monitoring, which creates profit opportunities for speculators, who do not act as dealers but simply monitor the information flow and quote...

Persistent link: https://www.econbiz.de/10005791723

Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of May 2005

Acharya, Viral V; Schaefer, Stephen M; Zhang, Yili - C.E.P.R. Discussion Papers - 2007

a novel dataset, we document that this sell-off appears to have generated significant liquidity risk for market … actual downgrade and reversing sharply thereafter. We show that a measure of liquidity risk faced by corporate bond market … portion of this excess co-movement. Additional robustness checks suggest that this relationship between the liquidity risk …

Persistent link: https://www.econbiz.de/10005123999

Arbitrage with Inelastic Liquidity Demand and Financial Constraints

Attari, Mukarram; Mello, Antonio S - C.E.P.R. Discussion Papers - 2001

This paper derives arbitrage trading strategies taking into account the fact that the actions of arbitrageurs impact prices. This avoids the difficulty of having to rely on exogenous position limits to prevent infinite arbitrage profits. When arbitrageurs are financially constrained their...

Persistent link: https://www.econbiz.de/10005136768

The Credibility of the Hungarian Exchange Rate Regime 1997-98

Szeidl, Adam - C.E.P.R. Discussion Papers - 2003

This study intends to analyse the credibility of the Hungarian exchange rate regime preceding and during the Russian stock market crisis and devaluation (in 1998). Throughout the Paper the comparison with the similar regime in Poland is stressed. The basic tool applied is a measure of market...

Persistent link: https://www.econbiz.de/10005067588

Moral Hazard, Collateral and Liquidity

Acharya, Viral V; Viswanathan, S. Vish - C.E.P.R. Discussion Papers - 2008

rationed when they attempt to borrow in order to meet liquidity shocks. The rationed firms can optimally pledge cash as …-in-the-market pricing and depends on the entire distribution of liquidity shocks in the economy. As moral hazard intensity varies … market and funding liquidity and deep discounts observed in prices during crises that follow good times. …

Persistent link: https://www.econbiz.de/10005661905

Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks

Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2009

A common view in the literature is that the effect of energy price shocks on macroeconomic aggregates is asymmetric in energy price increases and decreases. We show that widely used asymmetric vector autoregressive models of the transmission of energy price shocks are misspecified, resulting in...

Persistent link: https://www.econbiz.de/10005000442

Understanding Exchange Rate Volatility Without the Contrivance of Macroeconomics

Flood, Robert P; Rose, Andrew K - C.E.P.R. Discussion Papers - 1998

Exchange rate regimes differ primarily by the activity of the exchange rate, not observable macroeconomic ‘fundamentals’. Fixed exchange rates are typically stable and floating exchange rates are volatile, but macro phenomena are regime-independent. Fundamentals only seem to be relevant for...

Persistent link: https://www.econbiz.de/10005788957

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