Risk research: On the impact of fundamentals, liquidity and coordination on market stability

On the impact of fundamentals, liquidity and coordination on market stability

Daníelsson, J. and F. Penaranda (2011, January). On the impact of fundamentals, liquidity and coordination on market stability. International Economics Review 3, 621–638.

Complex interactions between fundamentals and liquidity during unstable periods in financial markets are succinctly modeled with co-ordination games. We propose a flexible framework to estimate such a model and use the efficient method of moments as estimation process.

@ARTICLE{DanielssonPenaranda2011,
  author =  {J{\'o}n Dan{\'i}elsson and F Penaranda},
  title =   {On the impact of fundamentals, liquidity and coordination
                  on market stability},
  journal = "International Economics Review",
  volume =  {3},
  pages =   {621--638},
  year =    2011,
  url =     {ssrn.com/abstract=1002836},
 }

Balance sheet capacity and endogenous risk

Lessons from a collapse of a financial system