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Asymmetric price movements and borrowing constraints : a rational expectations equilibrum model of crises, contagion, and confusion
This study proposes a rational expectations equilibrum model of crises and contagion in an economy with information asymmetry and borrowing constraints. Consistent with empirical observations, the model finds: (1) Crises can be caused by small shocks to fundamentals ; (2) market return distributions are asymmetric ; and (3) correlations among asset returns tend to increase during crashes. The model also predicts : (1) Crises and contagion are likely to occur after small shocks in the intermediate price region ; (2) the skewness of asset price distributions increases with information asymmetry and borrowing constraints ; and (3) crises can spread through imvestor borrowing constraints..Printed Journal
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | : The American Finance Association |
|---|---|
| Edisi | - |
| Subjek | - |
| ISBN/ISSN | 00221082 |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |