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Strategic complementarity, fragility, and regulation

Vives, Xavier - 2011 - Rev. May 2011

The paper analyzes a very stylized model of crises and demonstrates how the degree of strategic complementarity in the actions of investors is a critical determinant of fragility. It is shown how the balance sheet composition of a financial intermediary, parameters of the information structure...

Persistent link: https://www.econbiz.de/10009230899

Unleashing animal spirits : self-control and overpricing in experimental asset markets

Kocher, Martin; Lucks, Konstantin E.; Schindler, David - 2016

One possible determinant of overpricing on asset markets is a lack of self-control abilities of traders. Self-control is the individual capacity to override or inhibit undesired behavioral tendencies such as impulses and to refrain from acting on them. We implement the first experiment that is...

Persistent link: https://www.econbiz.de/10011444434

Inside the mind of a stock market crash

Giglio, Stefano; Maggiori, Matteo; Stroebel, Johannes; … - 2020 - First draft: April 4th 2020, this draft: May 21, 2020

We analyze how investor expectations about economic growth and stock returns changed during the February-March 2020 … market had rallied 25% from its lowest point. Following the crash, the average investor turned more pessimistic about the … further extreme stock market declines and large declines in short-run real economic activity. In contrast, investor …

Persistent link: https://www.econbiz.de/10012224226

Do economic policymakers practice what they preach? : the case of pension decisions

Dahan, Momi; Kogut, Tehila; Shalem, Moshe - 2009

This paper examines whether policymakers, economists at the Israeli Finance Ministry, act in their personal pension decisions in accordance with the rational behaviour assumptions underlying the pension policies they advance. We find that while economists' decisions regarding three other...

Persistent link: https://www.econbiz.de/10003883889

Monetary policy, model uncertainty and exchange rate volatility

Markiewicz, Agnieszka - 2010

This paper proposes an explanation of the shifts in the volatility of exchange rate returns that relies on standard present value exchange rate models. Agents are uncertain about the true data generating model and deal with the model uncertainty by making inference on the models and their...

Persistent link: https://www.econbiz.de/10003937806

Limit-Order Submission Strategies under Asymmetric Information

Menkhoff, Lukas; Osler, Carol; Schmeling, Maik - 2010

This paper provides evidence that informed traders dominate the response of limit-order submissions to shocks in a pure limit-order market. In the market we study, informed traders are highly sensitive to spreads, volatility, momentum and depth. By contrast, uninformed traders are relatively...

Persistent link: https://www.econbiz.de/10003969203

Public and private learning from prices, strategic substitutability and complementarity, and equilibrium multiplicity

Manzano Tovar, Carolina; Vives, Xavier - 2010

We study a general static noisy rational expectations model, where investors have private information about asset payoffs, with common and private components, and about their own exposure to an aggregate risk factor, and derive conditions for existence and uniqueness (or multiplicity) of...

Persistent link: https://www.econbiz.de/10003994517

Exchange rates dynamics in a target zone : a heterogeneous expectations approach

Bauer, Christian (contributor); De Grauwe, Paul (contributor) - 2007

Persistent link: https://www.econbiz.de/10003598631

Dynamic choice, independence and emotions

Hopfensitz, Astrid (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003496691

Modeling optimism and pessimism in the foreign exchange market

De Grauwe, Paul (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003496811

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