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Persistent link: https://www.econbiz.de/10005410597
The bursting of the housing price bubble during 2007 and 2008 was accompanied by high interbank spreads, and a partial breakdown of interbank lending. This paper theoretically models how Knightian uncertainty over banks risk exposures may have contributed to the breakdown. The paper shows: 1)...
Persistent link: https://www.econbiz.de/10011026856
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Recent research has shown that different methods of computing Value at Risk (VAR) generate widely varying results, suggesting the choice of VAR method is very important. This paper examines six VAR methods, and compares their computational time requirements and their accuracy when the sole...
Persistent link: https://www.econbiz.de/10005794409
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I present a fully-rational symmetric-information model of an IPO, and a dynamic imperfectly competitive model of trading in the IPO aftermarket. The model helps to explain IPO underpricing, underperformance, and why share allocations favor large institutional investors. In the model,...
Persistent link: https://www.econbiz.de/10005721156
The growing share of financial assets that are held and managed by large institutional investors whose desired trades move asset prices is at odds with the traditional competitive assumption that investors are small and take prices as given. This paper relaxes the traditional price-taking...
Persistent link: https://www.econbiz.de/10005721236
We develop a multiple asset rational expectations model of asset prices to study the determinants of financial market contagion, and to provide an explanation for the pattern of contagion during the Asian financial crisis. Our findings show that the pattern and severity of financial contagion...
Persistent link: https://www.econbiz.de/10005721247
We develop a multiple asset rational expectations model of asset prices to explain financial market contagion. Although the model allows contagion through several channels, our focus is on contagion through cross-market rebalancing. Through this channel, investors transmit idiosyncratic shocks...
Persistent link: https://www.econbiz.de/10005302365
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