Arbeitspapier
Correlated liquidity shocks, financial contagion and asset price dynamics
Recent literature shows how the destabilising effect 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 …nancial 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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Quaderni - Working Paper DSE ; No. 448
- Klassifikation
-
Wirtschaft
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Andergassen, Rainer
- Ereignis
-
Veröffentlichung
- (wer)
-
Alma Mater Studiorum - Università di Bologna, Dipartimento di Scienze Economiche (DSE)
- (wo)
-
Bologna
- (wann)
-
2002
- DOI
-
doi:10.6092/unibo/amsacta/4848
- Handle
- Letzte Aktualisierung
-
06.01.2026, 19:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Andergassen, Rainer
- Alma Mater Studiorum - Università di Bologna, Dipartimento di Scienze Economiche (DSE)
Entstanden
- 2002
Ähnliche Objekte (12)
Shock contagion, asset quality and lending behavior
Liquidity shocks and asset price boom/bust cycles
Asset Safety versus Asset Liquidity
Asset pricing: Liquidity, trading, and asset prices
Asset auctions, information, and liquidity
Interdependence and contagion in global asset markets
Essays on empirical asset pricing, dynamic asset allocation, and contagion effects
Liquidity constraints, risk premia, and themacroeconomic effects of liquidity shocks
Liquidity Shocks and Stock Market Reactions
Identifying fertility contagion using random fertility shocks
Liquidity and ambiguity : banks or asset markets?
Liquidity and Ambiguity: Banks or Asset Markets?
Shock contagion, asset quality and lending behavior
Liquidity shocks and asset price boom/bust cycles
Asset Safety versus Asset Liquidity
Asset pricing: Liquidity, trading, and asset prices
Asset auctions, information, and liquidity
Interdependence and contagion in global asset markets
Essays on empirical asset pricing, dynamic asset allocation, and contagion effects
Liquidity constraints, risk premia, and themacroeconomic effects of liquidity shocks
Liquidity Shocks and Stock Market Reactions
Identifying fertility contagion using random fertility shocks
Liquidity and ambiguity : banks or asset markets?
Liquidity and Ambiguity: Banks or Asset Markets?
Shock contagion, asset quality and lending behavior
Liquidity shocks and asset price boom/bust cycles
Asset Safety versus Asset Liquidity
Asset pricing: Liquidity, trading, and asset prices
Asset auctions, information, and liquidity
Interdependence and contagion in global asset markets
Essays on empirical asset pricing, dynamic asset allocation, and contagion effects
Liquidity constraints, risk premia, and themacroeconomic effects of liquidity shocks
Liquidity Shocks and Stock Market Reactions
Identifying fertility contagion using random fertility shocks
Liquidity and ambiguity : banks or asset markets?