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  1. Realized Illiquidity
    Author: Lacava, Demetrio; Ranaldo, Angelo; Santucci de Magistris, Paolo
    Published: 2022
    Publisher:  SSRN, [S.l.]

    We study the theoretical and empirical properties of a simple measure of market illiquidity, namely the realized Amihud, which is defined as the ratio between the realized volatility and trading volume and which refines the popular price impact... more

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    Location:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    We study the theoretical and empirical properties of a simple measure of market illiquidity, namely the realized Amihud, which is defined as the ratio between the realized volatility and trading volume and which refines the popular price impact measure proposed by Amihud (2002). In our model, both price volatility and market liquidity are assumed to follow stochastic processes in continuous time. In this setting, characterized by stochastic volatility and liquidity, we prove that the realized Amihud provides a precise measurement of the inverse of integrated liquidity over fixed-length periods (e.g., a day, a week, a month). We consider a number of alternative econometric specifications, hence highlighting the main dynamic and distributional properties of the realized Amihud, including jumps, clustering, and leverage effects

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Swiss Finance Institute Research Paper ; No. 22-90
    Subjects: Liquidity; Stochastic Volatility; Trading Volume; Amihud; Jumps
    Other subjects: Array
    Scope: 1 Online-Ressource (42 p)
    Notes:

    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 21, 2022 erstellt
  2. A comment on monetary policy and rational asset price bubbles
    Author: Allen, Franklin; Barlevy, Gadi; Gale, Douglas
    Published: [2023]
    Publisher:  Federal Reserve Bank of Chicago, [Chicago, Illinois]

    Galí (2014) showed that a monetary policy rule that raises interest rates in response to bubbles can paradoxically lead to larger bubbles. This comment shows that a central bank that wants to dampen bubbles can always do so by raising interest rates... more

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    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 244
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    Galí (2014) showed that a monetary policy rule that raises interest rates in response to bubbles can paradoxically lead to larger bubbles. This comment shows that a central bank that wants to dampen bubbles can always do so by raising interest rates aggressively enough. This result is different from the Miao, Shen and Wang (2019) comment on Galí's paper. They argue Galí's model contains additional equilibria in which more aggressive rules dampen bubbles. We show that for these equilibria, more aggressive rules involve threats to raise interest rates more than actual rate increases.

     
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    Source: Union catalogues
    Contributor: Galí, Jordi (VerfasserIn des Bezugswerks); Miao, Jianjun (VerfasserIn des Bezugswerks); Shen, Zhouxiang (VerfasserIn des Bezugswerks); Wang, Pengfei (VerfasserIn des Bezugswerks)
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/284066
    Series: [Working paper] / Federal Reserve Bank of Chicago ; WP 2023, 25 (July 23, 2023)
    Subjects: bubbles; monetary policy; interest rate rules; lean versus clean; General Aggregative Models: Neoclassical; Business Fluctuations; Cycles; Financial Markets and the Macroeconomy; Monetary Policy; Asset Pricing; Trading Volume; Bond Interest Rates
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  3. Theoretical asset pricing under behavioral decision making
    Author: Vries, Martijn Alexander de
    Published: [2022]
    Publisher:  Tilburg University, Tilburg

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    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 181
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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
    ISBN: 9789056686772
    Other identifier:
    Series: [Dissertation series] / [Center for Economic Research, Tilburg University] ; [nr. 675 (2022)]
    Subjects: Behavioral Decision Making; Investors; Limited Attention; Asset Pricing; Probability Weighting; Equity Risk; Investor Behavior; Behavioral Finance; Risk Premia; Term Structure; Skewness; Trading Volume; Random Variables; Finance; Risk-Averse; Financial Markets
    Scope: 1 Online-Ressource (circa 163 Seiten), Illustrationen
    Notes:

    Dissertation, Tilburg University, 2022