Asymmetric Price Movements and Borrowing Constraints: A Rational Expectations Equilibrium Model of Crises, Contagion, and Confusion

By Kathy Yuan. 2005

334 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/dc9335159f89cbf4051c21e56c4f127a4fc78a0d

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Citations in the corpus

How Does Bank Competition Affect Systemic Stability (2012, neutral): “…shocks can be propagated through the banking system (a number of papers have used constrained information asymmetry framework to explain risk contagion and crises; see for instanceGenotte and Leland 1990, Kodres and Pritsker 2002, Hong and Stein 2003, and Barlevy and Veronesi 2003, Yuan 2005).”
When in Peril, Retrench: Testing the Portfolio Channel of Contagion (2004, neutral): “The papers by Kodres and Pritsker (2002), Yuan (2004), and Kyle and Xiong (2001) assume a perfectly inelastic supply of assets, so that returns and prices are endogenous but quantities are exogenous.”
Illiquidity Contagion and Liquidity Crashes (2014, neutral): “Our analysis is related to models of financial crises (Gennotte and Leland (1990), Barlevy and Veronesi (2003), and Yuan (2005)) and financial contagion (e.g., King and Wadhwani (1990), Kodres and Pritsker (2002), Yuan (2005), or Pasquariello (2007)).”
Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk (2006, methodology): “We use the skewness of market returns as an indicator of the tightness of financial constraints, since return skewness arises endogenously in pricing theories with financial constraints (Hong and Stein (2003), Yuan (2005)).”
Limits of Arbitrage (2010, neutral): “Arbitrageurs’ 15See also Yuan (2005) for a model in which leverage constraints hamper the revelation of private information, and Grossman & Vila (1992), Liu & Longstaff (2004), Jurek & Yang (2007) and Milbradt (2009) for partial-equilibrium models of portfolio choice by leverage-constrained…”
Equity Market Contagion During the Global Financial Crisis: Evidence from the World's Eight Largest Economies (2014, positive): “A crisis in one country may give a “wake-up call” to international investors to reassess the risks in other countries, and uninformed or less informed investors may find it difficult to extract the informed signal from the falling price, and follow the strategies of better informed investors generat”
The Role of Portfolio Constraints in the International Propagation of Shocks (2008, methodology): “For more applied analyses, see also Boyer, Kumagai, and Yuan (2006), Geanakoplos (2003), Gromb and Vayanos (2002), Mendoza and Smith (2002), and Yuan (2005).”
Liquidity and Market Crashes (2009, background): “Models with short sale or borrowing constraints, such as Hong and Stein (2003), Yuan (2005), and Bai, Chang, and Wang (2006), can generate negative skewness in returns.”
A New Class of Tests of Contagion With Applications (2008, background): “An alternative approach that also shows the importance of skewness in modeling contagion is by Yuan (2005).”
Imperfect Competition, Information Heterogeneity, and Financial Contagion (2007, neutral): “5 Finally, Calvo (1999), Kyle and Xiong (2001), and Yuan (2005) explored the consequences of insiders being financially constrained for the propagation of liquidity shocks across equilibrium prices.”