Fire Sales in Frozen Markets /

It is challenging to explain the collapse in the price of subprime mortgage-backed securities (MBS) during the Financial Crisis of 2008, using the existing models of fire-sale. I present a model to demonstrate that fire-sales may happen even when there is a relatively sizable pool of natural buyers...

Cur síos iomlán

Sonraí bibleagrafaíochta
Príomhchruthaitheoir: Ebrahimy, Ehsan
Formáid: IRIS
Teanga:English
Foilsithe / Cruthaithe: Washington, D.C. : International Monetary Fund, 2019.
Sraith:IMF Working Papers; Working Paper ; No. 2019/092
Ábhair:
Rochtain ar líne:Full text available on IMF
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100 1 |a Ebrahimy, Ehsan. 
245 1 0 |a Fire Sales in Frozen Markets /  |c Ehsan Ebrahimy. 
264 1 |a Washington, D.C. :  |b International Monetary Fund,  |c 2019. 
300 |a 1 online resource (39 pages) 
490 1 |a IMF Working Papers 
500 |a <strong>Off-Campus Access:</strong> No User ID or Password Required 
500 |a <strong>On-Campus Access:</strong> No User ID or Password Required 
506 |a Electronic access restricted to authorized BRAC University faculty, staff and students 
520 3 |a It is challenging to explain the collapse in the price of subprime mortgage-backed securities (MBS) during the Financial Crisis of 2008, using the existing models of fire-sale. I present a model to demonstrate that fire-sales may happen even when there is a relatively sizable pool of natural buyers and in the absence of asymmetric information, due to a coordination failure among buyers: buyers' waiting to trade at a lower price tomorrow, can lead to a collapse in the price and trade volume today. In particular, I show that when trade is decentralized and participation is endogenous, a medium level of asset demand and liquidity needs that are ex-pected to increase over time create complementarity among buyers' decisions to wait. This complementarity makes competitive markets prone to coordination failures and fire-sales accompanied by a collapse in the trade volume. Fire-sales may also be inefficient. I also discuss various policy options to eliminate the risk of fire-sales in such a setup. 
538 |a Mode of access: Internet 
650 7 |a Asset Market  |2 imf 
650 7 |a Asset Price  |2 imf 
650 7 |a Equilibrium Price  |2 imf 
650 7 |a WP  |2 imf 
830 0 |a IMF Working Papers; Working Paper ;  |v No. 2019/092 
856 4 0 |z Full text available on IMF  |u http://elibrary.imf.org/view/journals/001/2019/092/001.2019.issue-092-en.xml  |z IMF e-Library