Economics with Market Liquidity Risk

被引：5

作者：

Acharya, Viral V. ^{[1
]}

Pedersen, Lasse Heje ^{[2
,3
]}

机构：

[1] NYU, Stern Sch Business, New York, NY 10003 USA

[2] NYU, AQR Capital Management, Copenhagen Business Sch, Copenhagen, Denmark

[3] CEPR, Copenhagen, Denmark

来源：

CRITICAL FINANCE REVIEW | 2019年 / 8卷 / 1-2期

关键词：

Liquidity risk; Asset pricing; Corporate finance; Crises; Macroeconomics; Monetary policy; ROLLOVER RISK; CROSS-SECTION; FIRE SALES; RETURNS; ILLIQUIDITY; COMMONALITY;

D O I：

10.1561/104.00000083

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

For markets to work efficiently, buyers and sellers must be able to transact easily. People must have access to a marketplace such as a supermarket or a stock exchange with adequate liquidity. Further, people must have confidence that such a well-functioning marketplace will also exist in the future. Market liquidity risk is the risk that the market will function poorly in the future, handcuffing the "invisible hand" through which markets produce allocative efficiency. We discuss the effects of market liquidity risk on asset pricing, investment management, corporate finance, banking, financial crises, macroeconomics, monetary policy, fiscal policy, and other economic areas.

引用

页码：111 / 125

页数：15

共 76 条

[1] Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of May 2005 [J].