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Asset Price Bubbles Market Liquidity And Systemic Risk
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Book Synopsis Asset Price Bubbles, Market Liquidity and Systemic Risk by : Robert A. Jarrow
Download or read book Asset Price Bubbles, Market Liquidity and Systemic Risk written by Robert A. Jarrow and published by . This book was released on 2019 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies an equilibrium model with heterogeneous agents, asset price bubbles, and trading constraints. Market liquidity is modeled as a stochastic quantity impact from trading on the price. Bubbles are larger in liquid markets and when trading constraints are more binding. Systemic risk is defined as an unanticipated shock that results in the nonexistence of an equilibrium in the economy. A realization of systemic risk results in a significant loss of wealth. Systemic risk increases as: (i) the fraction of agents seeing an asset price bubble increases, (ii) as the market becomes more illiquid, and (iii) as trading constraints are relaxed.
Book Synopsis New Perspectives on Asset Price Bubbles by : Douglas D. Evanoff
Download or read book New Perspectives on Asset Price Bubbles written by Douglas D. Evanoff and published by Oxford University Press. This book was released on 2012-02-08 with total page 482 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume critically re-examines the profession's understanding of asset bubbles in light of the global financial crisis of 2007-09. It is well known that bubbles have occurred in the past, with the October 1929 crash as the most demonstrative example. However, the remarkably well-behaved performance of the US economy from 1945 to 2006, and, in particular during the Great Moderation period of 1984 to 2006, assured the economics profession and monetary policymakers that asset bubbles could be effectively managed with little or no real economic impact. The recent financial crisis has now triggered a debate about the emergence of a sequence of repeated bubbles in the Nasdaq market, housing market, credit market, and commodity markets. The realities of the crisis have intensified theoretical modeling, empirical methodologies, and debate on policy issues surrounding asset price bubbles and their potentially adverse economic impact if poorly managed. Taking a novel approach, the editors of this book present five classic papers that represent accepted thinking about asset bubbles prior to the financial crisis. They also include original papers challenging orthodox thinking and presenting new insights. A summary essay highlights the lessons learned and experiences gained since the crisis.
Book Synopsis Asset Price Bubbles by : William Curt Hunter
Download or read book Asset Price Bubbles written by William Curt Hunter and published by MIT Press. This book was released on 2005 with total page 650 pages. Available in PDF, EPUB and Kindle. Book excerpt: A study of asset price bubbles and the implications for preventing financial instability.
Book Synopsis Asset Price Bubbles and Systemic Risk by : Markus Konrad Brunnermeier
Download or read book Asset Price Bubbles and Systemic Risk written by Markus Konrad Brunnermeier and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Capital Asset Market Equilibrium With Liquidity Risk, Trading Constraints, and Asset Price Bubbles by : Robert A. Jarrow
Download or read book Capital Asset Market Equilibrium With Liquidity Risk, Trading Constraints, and Asset Price Bubbles written by Robert A. Jarrow and published by . This book was released on 2018 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper derives an equilibrium asset pricing model with endogenous liquidity risk, trading constraints, and asset price bubbles. Liquidity risk is modeled as a stochastic quantity impact on the price from trading, where the size of the impact depends on trade size. Asset price bubbles are generated by the existence of trading constraints, e.g. short sale prohibitions and margin requirements. Under a strong set of assumptions, we prove a unique equilibrium price process exists for our economy. We characterize the market's state price density, which enables the derivation of the risk-return relation for the stock's expected return including both liquidity risk and asset price bubbles. This yields a generalized intertemporal and consumption CAPM for our economy. In contrast to the traditional models without liquidity risk or asset price bubbles, there are additional systematic liquidity risk and asset price bubble factors which are related to the stock return's covariation with liquidity risk and asset price bubbles.
Book Synopsis Handbook on Systemic Risk by : Jean-Pierre Fouque
Download or read book Handbook on Systemic Risk written by Jean-Pierre Fouque and published by Cambridge University Press. This book was released on 2013-05-23 with total page 993 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook on Systemic Risk, written by experts in the field, provides researchers with an introduction to the multifaceted aspects of systemic risks facing the global financial markets. The Handbook explores the multidisciplinary approaches to analyzing this risk, the data requirements for further research, and the recommendations being made to avert financial crisis. The Handbook is designed to encourage new researchers to investigate a topic with immense societal implications as well as to provide, for those already actively involved within their own academic discipline, an introduction to the research being undertaken in other disciplines. Each chapter in the Handbook will provide researchers with a superior introduction to the field and with references to more advanced research articles. It is the hope of the editors that this Handbook will stimulate greater interdisciplinary academic research on the critically important topic of systemic risk in the global financial markets.
Book Synopsis Capital Asset Market Equilibrium With Liquidity Risk, Portfolio Constraints, and Asset Price Bubbles by : Robert A. Jarrow
Download or read book Capital Asset Market Equilibrium With Liquidity Risk, Portfolio Constraints, and Asset Price Bubbles written by Robert A. Jarrow and published by . This book was released on 2018 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper derives an equilibrium asset pricing model with endogenous liquidity risk, portfolio constraints, and asset price bubbles. Liquidity risk is modeled as a stochastic quantity impact on the price from trading, where the size of the impact depends on trade size. Asset price bubbles are generated by the existence of portfolio constraints, e.g. short sale prohibitions and margin requirements. Under a restrictive set of assumptions, we prove a unique equilibrium price process exists for our economy. We characterize the market's state price density, which enables the derivation of the risk-return relation for the stock's expected return including both liquidity risk and asset price bubbles. This yields a generalized intertemporal and consumption CAPM for our economy. In contrast to the traditional models without liquidity risk or asset price bubbles, there are additional systematic liquidity risk and asset price bubble factors which are related to the stock return's covariation with liquidity risk and asset price bubbles.
Book Synopsis Asset Price Bubbles by : Ms.Anna Scherbina
Download or read book Asset Price Bubbles written by Ms.Anna Scherbina and published by International Monetary Fund. This book was released on 2013-02-21 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: Why do asset price bubbles continue to appear in various markets? This paper provides an overview of recent literature on bubbles, with significant attention given to behavioral models and rational models with frictions. Unlike the standard rational models, the new literature is able to model the common characteristics of historical bubble episodes and offer insights for how bubbles are initiated and sustained, the reasons they burst, and why arbitrage forces do not routinely step in to squash them. The latest U.S. real estate bubble is described in the context of this literature.
Book Synopsis Optimal Macroprudential Policy and Asset Price Bubbles by : Nina Biljanovska
Download or read book Optimal Macroprudential Policy and Asset Price Bubbles written by Nina Biljanovska and published by International Monetary Fund. This book was released on 2019-08-30 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: An asset bubble relaxes collateral constraints and increases borrowing by credit-constrained agents. At the same time, as the bubble deflates when constraints start binding, it amplifies downturns. We show analytically and quantitatively that the macroprudential policy should optimally respond to building asset price bubbles non-monotonically depending on the underlying level of indebtedness. If the level of debt is moderate, policy should accommodate the bubble to reduce the incidence of a binding collateral constraint. If debt is elevated, policy should lean against the bubble more aggressively to mitigate the pecuniary externalities from a deflating bubble when constraints bind.
Book Synopsis Law, Bubbles, and Financial Regulation by : Erik F. Gerding
Download or read book Law, Bubbles, and Financial Regulation written by Erik F. Gerding and published by Routledge. This book was released on 2013-12-04 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial regulation can fail when it is needed the most. The dynamics of asset price bubbles weaken financial regulation just as financial markets begin to overheat and the risk of crisis spikes. At the same time, the failure of financial regulations adds further fuel to a bubble. This book examines the interaction of bubbles and financial regulation. It explores the ways in which bubbles lead to the failure of financial regulation by outlining five dynamics, which it collectively labels the "Regulatory Instability Hypothesis." . The book concludes by outlining approaches to make financial regulation more resilient to these dynamics that undermine law.
Download or read book Market Liquidity written by Yakov Amihud and published by Cambridge University Press. This book was released on 2012-11-12 with total page 293 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the theory and evidence on the effect of market liquidity and liquidity risk on asset prices and on overall securities market performance. Illiquidity means incurring a high transaction cost, which includes a large price impact when trading and facing a long time to unload a large position. Liquidity risk is higher if a security becomes more illiquid when it needs to be traded in the future, which will raise trading cost. The book shows that higher illiquidity and greater liquidity risk reduce securities prices and raise the expected return that investors require as compensation. Aggregate market liquidity is linked to funding liquidity, which affects the provision of liquidity services. When these become constrained, there is a liquidity crisis which leads to downward price and liquidity spiral. Overall, the volume demonstrates the important role of liquidity in asset pricing.
Book Synopsis On Swing Pricing and Systemic Risk Mitigation by : Sheheryar Malik
Download or read book On Swing Pricing and Systemic Risk Mitigation written by Sheheryar Malik and published by International Monetary Fund. This book was released on 2017-07-18 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Swing pricing allows a fund manager to transfer to redeeming or subscribing investors the costs associated with their trading activity, thus potentially discouraging large flows. This liquidity management tool, which is already used in major jurisdictions, may also help mitigate systemic risk. Here we develop and apply a methodology to investigate whether swing pricing does in fact help dampen flows out of funds, especially during periods of market stress. Drawing on evidence of first-mover advantage within a group of ‘swinging’ corporate bond funds, we provide policy considerations for enhancing the tool’s effectiveness as a systemic risk mitigant.
Book Synopsis Speculation, Trading, and Bubbles by : José A. Scheinkman
Download or read book Speculation, Trading, and Bubbles written by José A. Scheinkman and published by Columbia University Press. This book was released on 2014-07-08 with total page 137 pages. Available in PDF, EPUB and Kindle. Book excerpt: As long as there have been financial markets, there have been bubbles—those moments in which asset prices inflate far beyond their intrinsic value, often with ruinous results. Yet economists are slow to agree on the underlying forces behind these events. In this book José A. Scheinkman offers new insight into the mystery of bubbles. Noting some general characteristics of bubbles—such as the rise in trading volume and the coincidence between increases in supply and bubble implosions—Scheinkman offers a model, based on differences in beliefs among investors, that explains these observations. Other top economists also offer their own thoughts on the issue: Sanford J. Grossman and Patrick Bolton expand on Scheinkman's discussion by looking at factors that contribute to bubbles—such as excessive leverage, overconfidence, mania, and panic in speculative markets—and Kenneth J. Arrow and Joseph E. Stiglitz contextualize Scheinkman's findings.
Book Synopsis Stock Market Liquidity by : François-Serge Lhabitant
Download or read book Stock Market Liquidity written by François-Serge Lhabitant and published by John Wiley & Sons. This book was released on 2008-01-09 with total page 502 pages. Available in PDF, EPUB and Kindle. Book excerpt: Brings together today's best financial minds across the world to discuss the issue of liquidity in today's markets. It is often proxied by trade-based measures (such as trading volume, frequency of trading, dollar value of shares trade, etc), order based measures and price impact measures.
Book Synopsis Anatomy Of Stock Market Bubbles by : György Komáromi
Download or read book Anatomy Of Stock Market Bubbles written by György Komáromi and published by ICFAI Books. This book was released on 2006-11-14 with total page 129 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents one of the most controversial happenings in economics stock market bubbles. The author discusses this topic threadbare and provides a critical analysis of related literature from different economic schools. This book also presents analy
Book Synopsis Asset Price Bubbles and Challenges to Central Banks by : Junhan Kim
Download or read book Asset Price Bubbles and Challenges to Central Banks written by Junhan Kim and published by . This book was released on 2010 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Central Banks at a Crossroads by : Michael D. Bordo
Download or read book Central Banks at a Crossroads written by Michael D. Bordo and published by Cambridge University Press. This book was released on 2016-06-09 with total page 719 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the role of central banks and draws lessons from examining their evolution over the past two centuries.
