This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

On the Impact of Fundamentals, Liquidity and Coordination on Market Stability

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Francisco Peñaranda ()
Jón Daníelsson

Additional information is available for the following registered author(s):

Abstract

Complex interactions between fundamentals and liquidity during unstable periods in financial markets are succinctly modeled with co- ordination games. We propose a flexible framework to estimate such a model and use the efficient method of moments as estimation proce- dure. We illustrate the model by using exchange rates from the yen– dollar carry trade induced uncertainty in 1998, interest rate spreads and global market volatility. The model fits the data well, with ev- idence of low information disparities, the market is generally very deep, where global volatility is more important than fundamental un- certainty in the determination of liquidity. There is clear evidence of asymmetry between the buy and sell sides of the market.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.econ.upf.edu/docs/papers/downloads/1003.pdf
File Format: application/pdf
File Function: Whole Paper
Download Restriction: no

Publisher Info
Paper provided by Department of Economics and Business, Universitat Pompeu Fabra in its series Economics Working Papers with number 1003.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length:
Date of creation: Jan 2007
Date of revision:
Handle: RePEc:upf:upfgen:1003

Contact details of provider:
Web page: http://www.econ.upf.edu/

For technical questions regarding this item, or to correct its listing, contact: ().

Related research
Keywords: Carry trades currency crises efficient method of moments global games

Other versions of this item:

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
F31 - International Economics - - International Finance - - - Foreign Exchange
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Christian Hellwig & Arijit Mukherji & Aleh Tsyvinski, 2005. "Self-Fulfilling Currency Crises: The Role of Interest Rates," NBER Working Papers 11191, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Foster, F Douglas & Viswanathan, S, 1995. "Can Speculative Trading Explain the Volume-Volatility Relation?," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(4), pages 379-96, October.
  3. Itay Goldstein & Ady Pauzner, 2005. "Demand-Deposit Contracts and the Probability of Bank Runs," Journal of Finance, American Finance Association, vol. 60(3), pages 1293-1327, 06. [Downloadable!] (restricted)
  4. Stephen Morris & Hyun Song Shin, 2004. "Liquidity Black Holes," Review of Finance, Springer, vol. 8(1), pages 1-18. [Downloadable!]
    Other versions:
  5. Grossman, S.J. & Miller, M.H., 1988. "Liquidity And Market Structure," Papers 88, Princeton, Department of Economics - Financial Research Center.
    Other versions:
  6. Martin D. D. Evans & Richard K. Lyons, 2002. "Order Flow and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 110(1), pages 170-180, February. [Downloadable!] (restricted)
    Other versions:
  7. Alessandro Prati & Massimo Sbracia, 2002. "Currency crises and uncertainty about fundamentals," Temi di discussione (Economic working papers) 446, Bank of Italy, Economic Research Department. [Downloadable!]
    Other versions:
  8. Nikola A. Tarashev, 2003. "Currency Crises and the Informational Role of Interest Rates," BIS Working Papers 135, Bank for International Settlements. [Downloadable!]
  9. Gallant, A. Ronald & Tauchen, George, 2002. "Simulated Score Methods and Indirect Inference for Continuous-time Models," Working Papers 02-09, Duke University, Department of Economics. [Downloadable!]
  10. Pastor, Lubos & Stambaugh, Robert F., 2003. "Liquidity Risk and Expected Stock Returns," Journal of Political Economy, University of Chicago Press, vol. 111(3), pages 642-685, June. [Downloadable!] (restricted)
    Other versions:
  11. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November. [Downloadable!] (restricted)
  12. repec:cup:etheor:v:12:y:1996:i:4:p:657-81 is not listed on IDEAS
  13. Dasgupta, Amil, 2007. "Coordination and delay in global games," Journal of Economic Theory, Elsevier, vol. 134(1), pages 195-225, May. [Downloadable!] (restricted)
Full references

Statistics
Access and download statistics

Did you know? About 900 archives contribute their bibliographic data to RePEc.

This page was last updated on 2008-8-1.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.