Crashes and recoveries in illiquid markets
By: by Ricardo Lagos, Guillaume Rocheteau, and Pierre-Olivier Weill
Contributors: Rocheteau, Guillaume; Weill, Pierre-Olivier; Federal Reserve Bank of Cleveland
Series: Working paper -- WP07-08; Working paper (Federal Reserve Bank of Cleveland : Online) -- WP07-08.
Publisher: Federal Reserve Bank of Cleveland
Published: 2007
Place of publication: Cleveland, Ohio]
Language: eng
Format: [electronic resource] /
Subjects: Liquidity (Economics)
Description: "We study the dynamics of liquidity provision by dealers during an asset market crash, described as a temporary negative shock to investors' aggregate asset demand.  We consider a class of dynamic market settings where dealers can trade continuously with each other, while trading between dealers and investors is subject to delays and involves bargaining.  We derive conditions on fundamentals, such as preferences, market structure and the characteristics of the market crash (e.g., severity, persistence) under which dealers provide liquidity to investors following the crash.  We also characterize the conditions under which dealers' incentives to provide liquidity are consistent with market efficiency"--Federal Reserve Bank of Cleveland web site.
Notes: Title from PDF file as viewed on 10/29/2007.

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