The DOI matches its Crossref record; 31 of the 31 references it cites were found in a registry or an index.
Asymmetric Price Movements and Borrowing Constraints: A Rational Expectations Equilibrium Model of Crises, Contagion, and Confusion
Open accessAbstract
This study proposes a rational expectations equilibrium model of crises and contagion in an economy with information asymmetry and borrowing constraints. Consistent with empirical observations, the model finds: (1) Crises can be caused by small shocks to fundamentals; (2) market return distributions are asymmetric; and (3) correlations among asset returns tend to increase during crashes. The model also predicts: (1) Crises and contagion are likely to occur after small shocks in the intermediate price region; (2) the skewness of asset price distributions increases with information asymmetry and borrowing constraints; and (3) crises can spread through investor borrowing constraints.
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Cites
Limited-dependent and qualitative variables in econometrics
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Expected stock returns and volatility
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Information, trade and common knowledge
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Asymmetric correlations of equity portfolios
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Transmission of Volatility Between Stock Markets
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How does competition affect bank systemic risk?
Anginer, D., Demirguc-Kunt, A., & Zhu, M. (2014) · Journal of Financial Intermediation · doi:10.1016/j.jfi.2013.11.001 · Cited by 527
Product Market Competition, Insider Trading, and Stock Market Efficiency
PERESS, J. (2010) · The Journal of Finance · doi:10.1111/j.1540-6261.2009.01522.x · Cited by 484
Gromb, D., & Vayanos, D. (2010) · Annual Review of Financial Economics · doi:10.1146/annurev-financial-073009-104107 · Cited by 478
Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk
ADRIAN, T., & ROSENBERG, J. (2008) · The Journal of Finance · doi:10.1111/j.1540-6261.2008.01419.x · Cited by 473
Asset Fire Sales and Purchases and the International Transmission of Funding Shocks
JOTIKASTHIRA, C., LUNDBLAD, C., & RAMADORAI, T. (2012) · The Journal of Finance · doi:10.1111/j.1540-6261.2012.01780.x · Cited by 377
Metadata
- Authors
- YUAN, K.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2005-02
- Volume
- 60
- Issue
- 1
- Pages
- 379-411
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2081884641
- Cited by
- 368
- References
- 31
- FWCI
- 33.12
- Type
- journal article
- Language
- en
- Open access
- green
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- YUAN, K. (2005). Asymmetric Price Movements and Borrowing Constraints: A Rational Expectations Equilibrium Model of Crises, Contagion, and Confusion. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2005.00733.x
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
