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Sohn, Hyun-U; Sornette, Didier - 2020

We propose an extension of the class of rational expectations bubbles (REBs) to the more general rational beliefs setting of Kurz (1994a,b). In a potentially non-stationary but stationarizable environment, among an heterogenous population of agents, it is possible to hold more than one...

Persistent link: https://www.econbiz.de/10012181099

Risk spillovers and interconnectedness between systemically important institutions

Andrieş, Alin Marius; Ongena, Steven; Sprincean, Nicu; … - 2020 - This version: May 9, 2020

In this paper we gauge the degree of interconnectedness and quantify the linkages between global and other systemically important institutions, and the global financial system. We document that the two groups and the financial system become more interconnected during the global financial crisis...

Persistent link: https://www.econbiz.de/10012219367

A solution to the Chinese trading halt puzzle

Liu, Crocker H.; Trzcinka, Charles; Zhao, Ziwei - 2023

Persistent link: https://www.econbiz.de/10014470806

Optimal risk-sharing across a network of insurance companies

Ettlin, Nicolas; Farkas, Walter; Kull, Andreas; … - 2020

Risk transfer is a key risk and capital management tool for insurance companies. Transferring risk between insurers is used to mitigate risk and manage capital re- quirements. We investigate risk transfer in the context of a network environment of insurers and consider capital costs and capital...

Persistent link: https://www.econbiz.de/10012270812

Asset prices and liquidity with market power and non-Gaussian payoffs

Glebkin, Sergei; Malamud, Semyon; Teguia, Alberto - 2020

risk aversion decreases, there are more liquidity providers and/or there is less uncertainty about future asset payoffs …, liquidity can decrease, (iii) cross-section of returns is affected by endogenous illiquidity …

Persistent link: https://www.econbiz.de/10012419350

Asset pricing with large investors

Malamud, Semyon; Teguia, Alberto - 2017

We derive closed form expressions for equilibrium asset prices and liquidity in an economy populated by a finite number … prices. Market liquidity is non-monotonic in funding liquidity and may decrease in the number of investors. In the presence … of liquidity shortage, price impact becomes negative and gives rise to an illiquidity premium in asset prices …

Persistent link: https://www.econbiz.de/10011874850

High-frequency jump analysis of the bitcoin market

Scaillet, Olivier; Treccani, Adrien; Trevisan, Christopher - 2017

We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November 2013. This gives us a rare opportunity to study an emerging retail-focused, highly speculative and unregulated market with trader identifiers at a tick transaction level. Jumps...

Persistent link: https://www.econbiz.de/10011762219

Liquidity, innovation and growth

Berentsen, Aleksander; Rojas Breu, Mariana; Shi, Shouyong - In: Journal of monetary economics 59 (2012) 8, pp. 721-737

Persistent link: https://www.econbiz.de/10009702394

Why don't Lenders renegotiate more home mortgages? : redefaults, self-cures and securitization

Adelino, Manuel; Gerardi, Kristopher; Willen, Paul - In: Journal of monetary economics 60 (2013) 7, pp. 835-853

Persistent link: https://www.econbiz.de/10010253060

Liquidity provision to leveraged ETFs and equity options rebalancing flows : evidence from end-of-day stock prices

Barbon, Andrea; Beckmeyer, Heiner; Buraschi, Andrea; … - 2022

Persistent link: https://www.econbiz.de/10013192393