断路器和市场运行

IF 5.6 2区 经济学 Q1 BUSINESS, FINANCE
Dion Bongaerts, Sarah Draus-De Luca, Mark Van Achter
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引用次数: 0

摘要

交易者可能只是出于对未来流动性冲击的恐惧而在金融市场上跑马圈地。我们提出的模型表明,经过适当校准的断路器可以通过抑制过度交易来防止这种协调失灵。它提出了一种新颖的、前瞻性的断路器,在低效市场挤兑的预期福利损失最大时,这种断路器的限制性最强。当前和未来流动性短缺的概率是这种福利优化断路器的重要决定因素。我们通过经验说明了如何校准这些参数。我们还确定了在哪些经济条件下断路器会损害福利而不应实施。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Circuit Breakers and Market Runs
Traders may run on financial markets merely out of fear of future liquidity shocks. We present a model that shows that adequately calibrated circuit breakers can prevent such coordination failures by curbing excessive trading. It suggests a novel, forward-looking circuit breaker that becomes most restrictive in cases when expected welfare losses of inefficient market runs are largest. The probabilities of current and future liquidity shortages are important determinants for such welfare-optimized circuit breakers. We empirically illustrate how to calibrate these parameters. We also determine under which economic conditions circuit breakers damage welfare and should not be implemented.
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来源期刊
Review of Finance
Review of Finance Multiple-
CiteScore
7.80
自引率
2.30%
发文量
67
期刊介绍: The Review of Finance, the official journal of the European Finance Association, aims at a wide circulation and visibility in the finance profession. The journal publishes high-quality papers in all areas of financial economics, both established and newly developing fields: • •Asset pricing •Corporate finance •Banking and market microstructure •Law and finance •Behavioral finance •Experimental finance Review of Finance occasionally publishes special issues on timely topics, including selected papers presented at the meetings of the European Finance Association or at other selected conferences in the field.
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