The dynamics and determinants of liquidity connectedness across financial asset markets

2021 ◽  
Author(s):  
Ping-Xin Liew ◽  
Kian-Ping Lim ◽  
Kim-Leng Goh
Keyword(s):  
Asset Markets ◽  
Financial Asset

New Monetarist Economics

2019 ◽  
Author(s):  
Chao Gu ◽  
Han Han ◽  
Randall Wright
Keyword(s):  
Policy Analysis ◽  
Financial Markets ◽  
Empirical Work ◽  
Asset Markets ◽  
Monetary Theory ◽  
Financial Asset ◽  
Third Generation ◽  
Bargaining Theory ◽  
Indivisible Goods ◽  
Model Studies

This article provides an introduction to New Monetarist Economics. This branch of macro and monetary theory emphasizes imperfect commitment, information problems, and sometimes spatial (endogenously) separation as key frictions in the economy to derive endogenously institutions like monetary exchange or financial intermediation. We present three generations of models in development of New Monetarism. The first model studies an environment in which agents meet bilaterally and lack commitment, which allows money to be valued endogenously as means of payment. In this setup both goods and money are indivisible to keep things tractable. Second-generation models relax the assumption of indivisible goods and use bargaining theory (or related mechanisms) to endogenize prices. Variations of these models are applied to financial asset markets and intermediation. Assets and goods are both divisible in third-generation models, which makes them better suited to policy analysis and empirical work. This framework can also be used to help understand financial markets and liquidity.

scholarly journals Quantitative Monetary Easing and Risk in Financial Asset Markets

2004 ◽  
Vol 2004 (57) ◽  
pp. 1-53 ◽  
Author(s):  
Takeshi Kimura ◽  
◽  
David H. Small
Keyword(s):  
Asset Markets ◽  
Financial Asset

Time-frequency analysis of behaviourally classified financial asset markets

2019 ◽  
Vol 50 ◽  
pp. 54-69 ◽  
Author(s):  
Maurice Omane-Adjepong ◽  
Kofi Agyarko Ababio ◽  
Imhotep Paul Alagidede
Keyword(s):  
Frequency Analysis ◽  
Asset Markets ◽  
Financial Asset ◽  
Time Frequency Analysis ◽  
Time Frequency

How Much Information Is Incorporated into Financial Asset Prices? Experimental Evidence

2020 ◽  
Author(s):  
Lionel Page ◽  
Christoph Siemroth
Keyword(s):  
Financial Market ◽  
Private Information ◽  
Public Information ◽  
Asset Markets ◽  
Informational Content ◽  
Financial Asset ◽  
Informational Efficiency ◽  
Market Prices ◽  
Market Experiments ◽  
Do So

Abstract We investigate the informational content of prices in financial asset markets. To do so, we use a large number of market experiments in which the amount of information held by traders is precisely observed. We derive a new method to estimate how much of this information is incorporated into market prices. We find that public information is almost completely reflected in prices but that surprisingly little private information—less than 50%—is incorporated into prices. Our estimates therefore suggest that, while semistrong informational efficiency is consistent with the data, financial market prices may be very far from strong-form efficiency.

scholarly journals ENDOGENOUS INEQUALITY OF NATIONS THROUGH FINANCIAL ASSET MARKET INTEGRATION

2010 ◽  
Vol 14 (3) ◽  
pp. 285-310 ◽  
Author(s):  
Volker Böhm ◽  
George Vachadze
Keyword(s):  
Steady State ◽  
Market Integration ◽  
Rational Expectations ◽  
Overlapping Generations ◽  
Absolute Risk ◽  
Sufficient Conditions ◽  
Asset Markets ◽  
Asset Market ◽  
Financial Asset ◽  
Long Run

The paper analyzes an endogenous mechanism leading perfectly symmetric economies to diverge in the long run after unifying their financial asset markets. The standard growth model with overlapping generations of consumers (OLG) is extended to include uncertainty and a financial asset. In the absence of an international asset market, the two autarkic economies converge to the same globally attracting steady state under rational expectations dynamics. When the two asset markets are unified internationally, additional asymmetric steady states appear, implying that the steady state with equal levels of capital becomes unstable, causing symmetry breaking. The paper derives general sufficient conditions for a saddle node bifurcation of the symmetric steady state. A numerical example shows that these effects occur, in particular when the production function and the function of absolute risk aversion are isoelastic.

scholarly journals The Asymmetric Effect of Volatility Spillover in Global Virtual Financial Asset Markets: The Case of Bitcoin

2019 ◽  
Vol 56 (6) ◽  
pp. 1293-1311 ◽  
Author(s):  
Hao Dong ◽  
Liming Chen ◽  
Xinyi Zhang ◽  
Pierre Failler ◽  
Sa Xu
Keyword(s):  
Asset Markets ◽  
Financial Asset ◽  
Volatility Spillover ◽  
Asymmetric Effect
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