English, Article, Journal or magazine article edition: On the Impact of Fundamentals, Liquidity and Coordination on Market Stability Francisco Penaranda; Jon Danielsson

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Bookmark: http://trove.nla.gov.au/version/44981
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • On the Impact of Fundamentals, Liquidity and Coordination on Market Stability
Author
  • Francisco Penaranda
  • Jon Danielsson
Physical Description
  • preprint
Notes
  • Complex interactions between fundamentals and liquidity during unstable periods in financial markets are succinctly modeled with coordination games. We propose a flexible framework to estimate such a model and use the efficient method of moments as estimation procedure. 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 evidence of low information disparities, the market is generally very deep, where global volatility is more important than fundamental uncertainty in the determination of liquidity. There is clear evidence of asymmetry between the buy and sell sides of the market.
  • RePEc:fmg:fmgdps:dp586
Language
  • English
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