Asymmetric Price Movements and Borrowing Constraints: A Rational Expectations Equilibrium Model of Crises, Contagion, and Confusion
dc.contributor.author | Yuan, Kathy | en_US |
dc.date.accessioned | 2015-11-12T21:03:40Z | |
dc.date.available | 2015-11-12T21:03:40Z | |
dc.date.issued | 2005-02 | en_US |
dc.identifier.citation | Yuan, Kathy (2005). "Asymmetric Price Movements and Borrowing Constraints: A Rational Expectations Equilibrium Model of Crises, Contagion, and Confusion." The Journal of Finance 60(1). | en_US |
dc.identifier.issn | 0022-1082 | en_US |
dc.identifier.issn | 1540-6261 | en_US |
dc.identifier.uri | https://hdl.handle.net/2027.42/115906 | |
dc.description.abstract | 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. | en_US |
dc.publisher | Wiley Periodicals, Inc. | en_US |
dc.publisher | Blackwell Publishing, Inc. | en_US |
dc.title | Asymmetric Price Movements and Borrowing Constraints: A Rational Expectations Equilibrium Model of Crises, Contagion, and Confusion | en_US |
dc.type | Article | en_US |
dc.rights.robots | IndexNoFollow | en_US |
dc.subject.hlbsecondlevel | Finance | en_US |
dc.subject.hlbtoplevel | Business and Economics | en_US |
dc.description.peerreviewed | Peer Reviewed | en_US |
dc.contributor.affiliationum | 1University of Michigan | en_US |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/115906/1/jofi733.pdf | |
dc.identifier.doi | 10.1111/j.1540-6261.2005.00733.x | en_US |
dc.identifier.source | The Journal of Finance | en_US |
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dc.owningcollname | Interdisciplinary and Peer-Reviewed |
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