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Fear of Crashes and Over-Reaction to Bad Shocks

Cujean, Julien; Hasler, Michael - National Centre of Competence in Research - Financial … - 2011

Our purpose is to show how large difference of beliefs induced by fear of crashesis amenable to large and persistent price responses to contemporaneous shocks. Weconstruct a pure exchange economy populated by two agents who estimate strictlydifferent models regarding the fundamental. In...

Persistent link: https://www.econbiz.de/10009486814

House Price Dynamics and Dispersed Information

Favara, Giovanni; Song, Zheng - National Centre of Competence in Research - Financial … - 2010

We use a user-cost model to study how dispersed information among housing marketparticipants a¤ects the equilibrium … speculate onprice changes. Information dispersion leads agents to have heterogeneous expectationsabout housing demand and prices …

Persistent link: https://www.econbiz.de/10009522191

Market Indicators, Bank Fragility, and Indirect Market Discipline

Gropp, Reint; Vesala, Jukka; Vulpes, Giuseppe - European Central Bank; UniCredit Group <Milano> - 2004

reflect contemporaneous information about bank riskin the United States and in Europe.2 In our study, we firstexamine the …

Persistent link: https://www.econbiz.de/10005869753

PRICE DISCOVERY IN CURRENCY MARKETS

Osler, Carol; Mende, Alexander; Menkhoff, Lukas - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2006

spreads are inversely related to a trade’s likely information content. Second,the paper suggests three potential sources for … the pattern of customer spreads, two of which rely onthe information structure of the market.[...] …

Persistent link: https://www.econbiz.de/10005867482

Local Information in Foreign Exchange Markets

Menkhoff, Lukas; Schmeling, Maik - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2006

regions. These regions are – as predicted by the local information hypothesis –centers of political and financial decision …

Persistent link: https://www.econbiz.de/10005867509

EXTREME ADVERSE SELECTION, COMPETITIVE PRICING,AND MARKET BREAKDOWN

Mailath, George J.; Nöldeke, Georg - University of Pennsylvania <Philadelphia, Pa.> / …; … - 2006

Extreme adverse selection arises when private information has unboundedsupport, and market breakdown occurs when no … support of private information converges to an unboundedsupport. A necessary and sufficient condition for market breakdown is …

Persistent link: https://www.econbiz.de/10005867928