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Liquidity Fluctuations in Over-the-Counter Markets

Maurin, Vincent - 2020

This paper presents a model of opaque secondary markets. Investors meet over-the-counter to trade heterogeneous assets under asymmetric information. An endogenous composition effect emerges whereby high liquidity alters the quality of the pool of sellers and decreases future liquidity. With...

Persistent link: https://www.econbiz.de/10012842866

Capital market liberalization: optimal tradeoff and bargaining delay

Dong, Baomin; Gu, Xinhua; Song, Huasheng - In: The North American journal of economics and finance : a … 39 (2017), pp. 78-88

Persistent link: https://www.econbiz.de/10011878582

Greek Debt Negotiations and VIX Currency Indices : A HYGARCH Approach

Dimitriou, Dimitrios I. - 2017

This study investigates the impact of the Greek debt negotiations, along with the increasing fears of a “Grexit”, on ….e., BPVIX, EUVIX and JYVIX) were used on daily changes, in order to estimate Hyperbolic GARCH(1,d,1) model with a “negotiations …” dummy in the mean equation. The results indicated the immunity of BPVIX, EUVIX and JYVIX to Greece's debt negotiations with …

Persistent link: https://www.econbiz.de/10012947754

Non-fundamental exchange rate volatility and welfare

Straub, Roland; Tchakarov, Ivan - 2004

We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on economic activity and welfare. In the first part of the paper, the GARCH-SVARmodel is applied to measure empirically the effect of the conditional exogenous exchange rate...

Persistent link: https://www.econbiz.de/10009636551