Emerging Markets in an Anxious Global Economy
AbstractWe provide a theory of pricing for emerging asset classes, like emerging markets, that are not yet mature enough to be attractive to the general public. Our model provides an explanation for the volatile access of emerging economies to international financial markets and for several stylized facts we identify in the data during the 1990's. We present a general equilibrium model with incomplete markets and endogenous collateral and an extension encompassing adverse selection. We show that contagion, flight to liquidity and issuance rationing can occur in equilibrium during what we call global anxious times.
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Bibliographic InfoPaper provided by David K. Levine in its series Levine's Working Paper Archive with number 122247000000002074.
Date of creation: 04 Apr 2008
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Other versions of this item:
- D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
- F34 - International Economics - - International Finance - - - International Lending and Debt Problems
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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- J. Doyne Farmer & John Geanakoplos, 2008.
"The Virtues and Vices of Equilibrium and the Future of Financial Economics,"
Levine's Working Paper Archive
122247000000002067, David K. Levine.
- J. Doyne Farmer & John Geanakoplos, 2008. "The virtues and vices of equilibrium and the future of financial economics," Papers 0803.2996, arXiv.org.
- J. Doyne Farmer & John Geanakoplos, 2008. "The Virtues and Vices of Equilibrium and the Future of Financial Economics," Cowles Foundation Discussion Papers 1647, Cowles Foundation for Research in Economics, Yale University.
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