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Viac o knihe
We use a Diamond/Dybvig-based model with two banks operating in separate regions connected by a common asset market in which banks and sophisticated depositors invest. We study the effect of a potential run (crisis) and subsequent fire sales on the asset price in both the crisis and no-crisis state. In our model, the two are jointly determined by a cash-in-the-market pricing and a no-arbitrage condition. We find that (i) a higher crisis probability increases the liquidity premium and thus asset prices in the normal and crisis case and (ii) a higher share of sophisticated investors increases market depth and thus the crisis price while it might also raise the asset price in the normal state.
Nákup knihy
Banks, markets, and financial stability, Armin Eder
- Jazyk
- Rok vydania
- 2014
Doručenie
Platobné metódy
Navrhnúť zmenu
- Titul
- Banks, markets, and financial stability
- Jazyk
- anglicky
- Autori
- Armin Eder
- Rok vydania
- 2014
- ISBN10
- 3957290783
- ISBN13
- 9783957290786
- Kategórie
- Podnikanie a ekonómia
- Anotácia
- We use a Diamond/Dybvig-based model with two banks operating in separate regions connected by a common asset market in which banks and sophisticated depositors invest. We study the effect of a potential run (crisis) and subsequent fire sales on the asset price in both the crisis and no-crisis state. In our model, the two are jointly determined by a cash-in-the-market pricing and a no-arbitrage condition. We find that (i) a higher crisis probability increases the liquidity premium and thus asset prices in the normal and crisis case and (ii) a higher share of sophisticated investors increases market depth and thus the crisis price while it might also raise the asset price in the normal state.