ON THE IMPACT OF FUNDAMENTALS, LIQUIDITY, AND COORDINATION ON MARKET STABILITY

• 成果类型: Article
• 署名作者: Danielsson, Jon; Penaranda, Francisco
• 署名单位: University of London; London School Economics & Political Science; Pompeu Fabra University
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/j.1468-2354.2011.00642.x
• 发表日期: 2011
• 页码: 621-638
• 关键词: currency crises; multiplicity; probability; INFORMATION; MODEL

摘要

We develop a coordination game to model interactions between fundamentals and liquidity during unstable periods in financial markets. We then propose a flexible econometric framework for estimation of the model and analysis of its quantitative implications. The specific empirical application is carry trades in the yen-dollar market, including the turmoil of 1998. We find a generally very deep market, with low information disparities among agents. We observe occasional episodes of market fragility or turmoil with up by the escalator, down by the elevator patterns in prices. The key role of strategic behavior in the econometric model is also confirmed.