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Morris And Song Shin-Liquidity Black Holes

Morris And Song Shin-Liquidity Black Holes

Morris And Song Shin-Liquidity Black Holes

Traders with short horizons and privately known trading limits interact in a market for a risky asset. Risk-averse, long horizon traders supply a downward sloping residual demand curve that face the short-horizontraders. When the price  falls close to the trading limits of the short horizon traders,selling of the risky asset by any trader increases the  […]

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Morris And Song Shin-Liquidity Black Holes

Traders with short horizons and privately known trading limits interact in a market for a risky asset. Risk-averse, long horizon traders supply a downward sloping residual demand curve that face the short-horizontraders. When the price  falls close to the trading limits of the short horizon traders,selling of the risky asset by any trader increases the  incentives for others to sell. Sales become mutually reinforcing among the short term traders, and payoffs analogous to a bank run are generated.a liquidity black hole” is the analogue of the run outcome in a bank run model.Shorthorizon traders sell because others sell. Using global game techniques, this paper solves for the unique trigger point at which the liquidity black hole comes into existence. Empirical implications include the sharp V-shaped pattern in prices around the time of the liquidity black hole.

     

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  • عنوان مقاله : Morris And Song Shin-Liquidity Black Holes
  • نوع فایل : PDF
  • حجم فایل : 230 کیلوبایت

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