Arbeitspapier
Banks, markets, and financial stability
We use a Diamond/Dybvig-based model with two banks operating in separate regions connected by a common asset market in which banks and sophisticated depositors invest. We study the effect of a potential run (crisis) and subsequent fire sales on the asset price in both the crisis and no-crisis state. In our model, the two are jointly determined by a cash-in-the-market pricing and a no-arbitrage condition. We find that (i) a higher crisis probability increases the liquidity premium and thus asset prices in the normal and crisis case and (ii) a higher share of sophisticated investors increases market depth and thus the crisis price while it might also raise the asset price in the normal state.
- Sprache
-
Englisch
- ISBN
-
978-3-95729-079-3
- Erschienen in
-
Series: Bundesbank Discussion Paper ; No. 31/2014
- Klassifikation
-
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
liquidity risk
financial crises
contagion
asset price bubbles
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Eder, Armin
Fecht, Falko
Pausch, Thilo
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Eder, Armin
- Fecht, Falko
- Pausch, Thilo
- Deutsche Bundesbank
Entstanden
- 2014
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