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A basic model of real-financial market interactions with heterogeneous opinion dynamics
Hartmann, Florian; Charpe, Matthieu; Flaschel, Peter; … - 2016
We consider an alternative modelling approach to the mainstream DSGE paradigm, namely a Dynamic Stochastic General Disequilibrium (DSGD) baseline model of continuous and gradual adjustment processes on interacting real and financial markets. Heterogeneous capital gain expectations (chartists and...
Persistent link: https://www.econbiz.de/10011490978
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Economic policy in India : for economic stimulus, or for austerity and volatility?
Sen, Sunanda; DasGupta, Zico - 2014
The implementation of economic reforms under new economic policies in India was associated with a paradigmatic shift in monetary and fiscal policy. While monetary policies were solely aimed at "price stability" in the neoliberal regime, fiscal policies were characterized by the objective of...
Persistent link: https://www.econbiz.de/10010385761
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Effects of Additional Monetary Tightening on Exchange Rate Volatility in Nigeria : 2007-2016
Adamu, Faith - 2017
exchange rate that included Monetary Policy Rate (MPR), Cash Reserve Requirement (CRR), Liquidity Ratio (LR), Upper interest …
Persistent link: https://www.econbiz.de/10012966833
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Market Belief, Trading Volume, Price Volatility, and Liquidity
Wang, Songtao - 2010
liquidity of assets. Following Kurz and Motolese (2008), we propose a theoretical model to show that the equilibrium asset price …, it is also shown in this paper that when market belief becomes more volatile, trading volume and liquidity decline while … volatility, and liquidity of underlying assets, and these empirical results are robust to various methods of estimating market …
Persistent link: https://www.econbiz.de/10013139189
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Is Liquidity Largely Unpriced While Market Volatility is Systematically Priced?
Levy, Andre - 2016
We show in a fairly general setting of a buyer and seller with the same preferences trading two related assets so as to share volatility risk that illiquidity and virtually all impediments to trade cannot be priced. This is because the buying and selling counterparties must both be optimizing....
Persistent link: https://www.econbiz.de/10013001416
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Liquidity Fluctuations and the Latent Dynamics of Price Impact
Mertens, Luca - 2019
Market liquidity is a latent and dynamic variable. Building on Cont et al. (2014), we propose a dynamical price impact …
Persistent link: https://www.econbiz.de/10012898765
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Trading Costs and Priced Illiquidity in High Frequency Trading Markets
Barardehi, Yashar H.; Bernhardt, Dan; Davies, Ryan J. - 2021
, due to endogenous variation in liquidity provision and consumption. After controlling for this endogenity, price impacts …
Persistent link: https://www.econbiz.de/10013241217
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Monetary Policy and Market Volatility
Dossani, Asad - 2020
An unanticipated tightening of monetary policy increases option implied volatility in equity and bond markets. At the same time, realized volatility declines over the period corresponding to the increase in option implied volatility. The result is a decrease in the volatility swap return,...
Persistent link: https://www.econbiz.de/10012850660
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Monetary Policy and Asset Valuation
Bianchi, Francesco; Lettau, Martin; Ludvigson, Sydney C. - 2021
We document large, longer-term, joint regime shifts in asset valuations and the real federal funds rate-r* spread. To interpret these findings, we estimate a novel macro-finance model of monetary transmission and find that the documented regimes coincide with shifts in the parameters of a policy...
Persistent link: https://www.econbiz.de/10013234115
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Scarcity effects of QE : a transaction-level analysis in the Bund market
Schlepper, Kathi; Riordan, Ryan; Hofer, Heiko; … - 2017
impact on liquidity conditions as measured by bid-ask spreads and inter-dealer order book depth. We further show that the …
Persistent link: https://www.econbiz.de/10011632212