Illiquidity Contagion and Liquidity Crashes
Illiquidity Contagion and Liquidity Crashes
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DOI：
10.1093/rfs/hhu016
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发表时间：
2014-06-01
影响因子：
8.2
通讯作者：
Foucault, Thierry
中科院分区：
文献类型：
--
作者：
Cespa, Giovanni;Foucault, Thierry
流动性提供者经常从其他资产的价格中了解到有关一项资产的信息。我们发现，这在价格信息性和流动性之间产生了自我强化的正向关系。这种关系导致流动性溢出，也是脆弱性的一个来源：一种资产的流动性小幅下降，通过一个反馈循环，可能导致市场流动性和价格信息性大幅下降(流动性崩溃)。这一反馈回路为流动性和流动性枯竭的改善提供了新的解释。它还会产生多个均衡。
Liquidity providers often learn information about an asset from prices of other assets. We show that this generates a self-reinforcing positive relationship between price informativeness and liquidity. This relationship causes liquidity spillovers and is a source of fragility: a small drop in the liquidity of one asset can, through a feedback loop, result in a very large drop in market liquidity and price informativeness (a liquidity crash). This feedback loop provides a new explanation for comovements in liquidity and liquidity dry-ups. It also generates multiple equilibria.