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Illiquidity spirals in coupled over-the-counter markets
Aymanns, Christoph; Georg, Co-Pierre; Golub, Benjamin - 2018
--e.g., secured debt and the underlying collateral. Incentives to provide liquidity in one market are increasing in counterparties … ones, illiquidity spirals can be so severe that liquidity vanishes discontinuously as we vary the shock. Liquidity can be …
Persistent link: https://www.econbiz.de/10011906418
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Search Friction in Over-the-Counter Markets
Wang, Chaojun - 2022
In a tractable model of over-the-counter markets where each investor can arbitrarily distribute her search capacity across other investors, the holdings of an asset are endogenously concentrated among a subgroup of investors. Investors who are more likely to hold the asset search among those...
Persistent link: https://www.econbiz.de/10013403632
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Asset pricing with cohort-based trading in MBS markets
Fusari, Nicola; Li, Wei; Liu, Haoyang; Song, Zhaogang - 2021 - Revised July 2021
Agency mortgage backed securities (MBS) with diverse characteristics are traded in parallel with individualized contracts in the specified pool (SP) market and with standardized contracts in the to-be-announced (TBA) market. We find that this unique parallel trading environment significantly...
Persistent link: https://www.econbiz.de/10012240625
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Liquidity level or liquidity risk? : a fresh look with new measures
Al-Haji, Ahmad - In: Spanish journal of finance & accounting : the official … 50 (2021) 4, pp. 395-408
Persistent link: https://www.econbiz.de/10012649516
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Payments, credit and asset prices
Piazzesi, Monika; Schneider, Martin - 2018
Persistent link: https://www.econbiz.de/10011905021
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Liquidity risk after 20 years
Pástor, Ľuboš; Stambaugh, Robert F. - 2019
Persistent link: https://www.econbiz.de/10012149923
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Rational belief bubbles
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
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Contrarian Behavior, Information Networks and Heterogeneous Expectations in an Asset Pricing Market
Makarewicz, Tomasz - 2016
The paper studies the emergence of contrarian behavior in information networks in an asset pricing market. Financial traders coordinate on similar behavior, but have heterogeneous price expectations and are influenced by friends. According to a popular belief, they are prone to herding. However,...
Persistent link: https://www.econbiz.de/10012995192
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Monetary Exchange in Over-the-Counter Markets : A Theory of Speculative Bubbles, the Fed Model, and Self-fulfilling Liquidity Crises
Lagos, Ricardo - 2014
anomalous. The theory also exhibits rational expectations equilibria with recurring belief driven events that resemble liquidity … prices and standard measures of financial liquidity, such as bid-ask spreads, trade volume, and the incentives of dealers to …. The theory predicts that asset prices carry a speculative premium that reflects the asset's marketability and depends on …
Persistent link: https://www.econbiz.de/10013054305
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Equilibrium Asset Pricing with Both Liquid and Illiquid Markets
Praz, Remy - 2015
not only make prices drop, they also make the OTC asset more difficult to sell, creating an endogenous liquidity risk …. This liquidity risk increases the risk premium of both the OTC asset and liquid asset. Furthermore, the OTC market …
Persistent link: https://www.econbiz.de/10013033233