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

dc.contributor.authorYuan, Kathyen_US
dc.date.accessioned2015-11-12T21:03:40Z
dc.date.available2015-11-12T21:03:40Z
dc.date.issued2005-02en_US
dc.identifier.citationYuan, 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.issn0022-1082en_US
dc.identifier.issn1540-6261en_US
dc.identifier.urihttps://hdl.handle.net/2027.42/115906
dc.description.abstractThis 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.publisherWiley Periodicals, Inc.en_US
dc.publisherBlackwell Publishing, Inc.en_US
dc.titleAsymmetric Price Movements and Borrowing Constraints: A Rational Expectations Equilibrium Model of Crises, Contagion, and Confusionen_US
dc.typeArticleen_US
dc.rights.robotsIndexNoFollowen_US
dc.subject.hlbsecondlevelFinanceen_US
dc.subject.hlbtoplevelBusiness and Economicsen_US
dc.description.peerreviewedPeer Revieweden_US
dc.contributor.affiliationum1University of Michiganen_US
dc.description.bitstreamurlhttp://deepblue.lib.umich.edu/bitstream/2027.42/115906/1/jofi733.pdf
dc.identifier.doi10.1111/j.1540-6261.2005.00733.xen_US
dc.identifier.sourceThe Journal of Financeen_US
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dc.owningcollnameInterdisciplinary and Peer-Reviewed


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