Asset price bubbles, market liquidity, and systemic risk
DOI10.1007/S11579-019-00247-9zbMATH Open1461.91328OpenAlexW2971832342WikidataQ127322995 ScholiaQ127322995MaRDI QIDQ829205FDOQ829205
Authors: Sujan Lamichhane, Robert A. Jarrow 
Publication date: 5 May 2021
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-019-00247-9
Recommendations
systemic riskmarket liquiditybubblesasset price equilibriumborrowing/trading constraintsheterogeneous agents/beliefs
Interest rates, asset pricing, etc. (stochastic models) (91G30) Heterogeneous agent models (91B69) Financial networks (including contagion, systemic risk, regulation) (91G45)
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Cited In (9)
- Preface to the special issue on systemic risk and financial networks
- A liquidity-based model for asset price bubbles
- Liquidity Black Holes *
- Asset shortages, liquidity and speculative bubbles
- Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles
- Imperfect knowledge, liquidity and bubbles
- A CAPM with trading constraints and price bubbles
- Equilibrium asset pricing with systemic risk
- Illiquidity comovement and market crisis
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