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Bacchetta, Philippe; Benhima, Kenza; Poilly, Céline - Départment d'économétrie et d'économie politique … - 2014

In the aftermath of the U.S. financial crisis, both a sharp drop in employment and a surge in corporate cash have been observed. In this paper, based on U.S. data, we document that the negative relationship between the corporate cash ratio and employment is systematic, both over time and across...

Persistent link: https://www.econbiz.de/10011099884

Search and matching in the housing market

Genesove, David; Han, Lu - In: Journal of Urban Economics 72 (2012) 1, pp. 31-45

transact with each other. Applying a random matching model to unique multi-year, multi-market survey data on both buyers and … growth than its level. This is consistent with a straightforward matching model with a lag in seller response. Our findings …–seller ratio, is 0.84, assuming a constant returns to scale matching function. …

Persistent link: https://www.econbiz.de/10010577764

Dynamics of assets liquidity and inequality in economies with decentralized markets

Iacopetta, Maurizio - Sciences économiques, Sciences Po - 2014

An algorithm for computing Dynamic Nash Equilibria (DNE) in an extended version of Kiyotaki and Wright (1989) (hereafter KW) is proposed. The algorithm computes the equilibrium pro.le of (pure) strategies and the evolution of the distribution of three types of assets across three types of...

Persistent link: https://www.econbiz.de/10011106537

STUDIES ON FINANCIAL MARKETS IN EAST ASIA

Susai, Masayuki (contributor); Uchida, Shigeru (contributor) - World Scientific Publishing Co. Pte. Ltd.

This book will be an important addition to the limited number of books that discuss finance and accounting issues in East Asian countries. While presenting recent empirical studies on finance and accounting in East Asian economies, it also reveals the underlying reasons for remarkable economic...

Persistent link: https://www.econbiz.de/10010883054

Search and endogenous concentration of liquidity in asset markets

Vayanos, Dimitri; Wang, Tan - London School of Economics (LSE) - 2004

We develop a search-based model of asset trading, in which investors of different horizons can invest in two identical assets. The asset markets are partially segmented: buyers can search for only one asset, but can decide which one. We show that there exists a "clientele" equilibrium where one...

Persistent link: https://www.econbiz.de/10010928661

Liquidity-Adjusted Benchmark Yield Curves: A Look at Trading Concentration and Information

Lin, William T.; Sun, David S. - In: Review of Pacific Basin Financial Markets and Policies … 10 (2007) 04, pp. 491-518

Estimation of benchmark yield curve in developing markets is often influenced by liquidity concentration. Based on an affine term structure model, we develop a long run liquidity weighted fitting method to address the trading concentration phenomenon arising from horizon-induced clientele...

Persistent link: https://www.econbiz.de/10005080749

Liquidity, Assets and Business Cycles

Shi, Shouyong - University of Toronto, Department of Economics - 2012

I construct a tractable model to evaluate the liquidity shock hypothesis that exogenous shocks to equity market liquidity are an important cause of the business cycle. After calibrating the model, I find that a large and persistent negative liquidity shock can generate large drops in investment,...

Persistent link: https://www.econbiz.de/10010556279

Economic Modeling for Optimal Trading of Financial Asset in Volatile Market

Sun, Edward W.; Kruse, Timm - In: Economics Bulletin 33 (2013) 3, pp. 1788-1795

We build an optimal trading model for submitting market orders in volatile market. We show some analytical properties of our computational solution. We conduct numerical simulations to investigate the model performance. In comparison with other two alternative models, the simulation results show...

Persistent link: https://www.econbiz.de/10010836203

The turn of the month effect in India: A case of large institutional trading pattern as a source of higher liquidity

Maher, Daniela; Parikh, Anokhi - In: International Review of Financial Analysis 28 (2013) C, pp. 57-69

We examine (via parametric and non-parametric tests) the turn of the month effect in the returns of various, size-conditioned Indian stock indices, across time, in up and down markets and independent of other seasonal anomalies. We find little support for the payday and the US macroeconomic news...

Persistent link: https://www.econbiz.de/10010666209

Liquidity and Asset Prices: A Unified Framework

Vayanos, Dimitri; Wang, Jiang - C.E.P.R. Discussion Papers - 2009

We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information, participation costs, transaction costs, leverage constraints, non-competitive behavior and search. Our model has three periods: agents are identical in the first, become...

Persistent link: https://www.econbiz.de/10004976791