Correlated liquidity shocks, financial contagion and asset price dynamics

Andergassen, Rainer (2002) Correlated liquidity shocks, financial contagion and asset price dynamics. DOI 10.6092/unibo/amsacta/641.
Full text disponibile come:
[thumbnail of 448.pdf]
Anteprima
Documento PDF
Download (512kB) | Anteprima

Abstract

Recent literature shows how the destabilising e¤ect of portfolio insurance activity on the price of the underlying asset depends on the liquidity of the asset market. We build a simple model where market timers shift capital around asset markets in order to exploit gains from temporary excess-volatility of asset prices. In this way, market timers increase the liquidity of asset markets reducing the excess volatility, while they increase the cross-market correlation, whereas long-ranged financial contagion eventually occurs. We show how liquidity of asset markets, cross-market correlation and excess volatility of asset prices depend on structural parameters of asset markets.

Abstract
Tipologia del documento
Monografia (Working paper)
Autori
AutoreAffiliazioneORCID
Andergassen, Rainer
Parole chiave
Correlated liquidity shocks financial contagion asset price dynamics endogenous liquidity
Settori scientifico-disciplinari
DOI
Data di deposito
17 Giu 2004
Ultima modifica
17 Feb 2016 13:59
URI

Altri metadati

Statistica sui download

Statistica sui download

Gestione del documento: Visualizza il documento

^