Asymmetric Price Movements And Borrowing Constraints : A Rational Expectations Equilibrium Model of Crises, Contagion, And Confusion  

Oleh:

Yuan, Kathy

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 60 no. 1 (Feb. 2005), page 379-412.
Topik: PRICE; studies; economic models; economic crisis; securities markets; securities pries; forecasting techniques; corporate debt
Fulltext: p 379.pdf (249.92KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This study proposes a rational expectations equilibrium model of crises and contagion in an economy with information asymmetry and borrowing constraints. Consistent with empirical observations, the model finds : (1) Crises can be caused by small shocks to fundamentals, (2) market return distributions are asymmetric, and (3) correlations among asset returns tend to increase during crashes. The model also predicts: (1) crises and contagion are likely to occur after small shocks in the intermediate price region, (2) the skewness of asset price distributions increases with information asymmetry and borrowing constraints, and (3) crises can spread through investor borrowing constraints.

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