Liquidity Shocks in Over-the-Counter Markets

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dc.contributor.advisor Schöbel, Rainer (Prof. Dr.-Ing.) Kudlik, Ingrid 2014-12-08T13:41:19Z 2014-12-08T13:41:19Z 2014-12
dc.identifier.other 421716649 de_DE
dc.identifier.uri de_DE
dc.description.abstract This dissertation addresses liquidity and aggregate liquidity shocks in over-the-counter (OTC) markets. The topic was inspired by the pioneering work of Duffie, Gârleanu, and Pedersen (2005, 2007), who initiated a new strand of literature about asset pricing in OTC markets. This thesis completes the aggregate liquidity shock model of Duffie, Gârleanu, and Pedersen (2007), since it turned out to be imperfect. The thesis starts with an introduction into the basic search and bargaining model by Duffie et al. (2005) for asset pricing in an illiquid OTC market. Illiquidity is modeled with search frictions, which imply that trade does not happen instantly. Upon finding a trading partner, asset prices are directly bargained between those agents. This model forms the basis for the aggregate liquidity shock model by Duffie et al. (2007). Aggregate liquidity shocks are associated with a sudden shift in agents’ preferences towards asset holding, affecting a large fraction of investors simultaneously. Several investors experience a sudden decrease in their liquidity, leading to a forced withdrawal of assets: The market is hit by a selling pressure. This thesis presents an analytical solution method for the aggregate liquidity shock model of Duffie et al. (2007) and derives a semi-analytical solution for asset prices. Additionally, it shows how to complete the aggregate liquidity shock model of Duffie et al. (2007), since it turned out to be imperfect. en
dc.language.iso en de_DE
dc.publisher Universität Tübingen de_DE
dc.rights ubt-podno de_DE
dc.rights.uri de_DE
dc.rights.uri en
dc.subject.classification Bewertung , Wertpapier , Liquidität , Verhandlung , Finanzkrise , Differentialgleichung , Unvollkommener Markt de_DE
dc.subject.ddc 330 de_DE
dc.subject.other Asset pricing en
dc.subject.other Liquidity en
dc.subject.other Illiquidity en
dc.subject.other Suchfriktionen de_DE
dc.subject.other Liquidity shocks en
dc.subject.other Verhandlung de_DE
dc.subject.other Over the Counter de_DE
dc.subject.other Search friction en
dc.subject.other Bargaining en
dc.subject.other System von Differentialgleichungen de_DE
dc.subject.other Lineare zeitveränderliche Systeme de_DE
dc.subject.other Over-the-counter en
dc.subject.other Financial crisis en
dc.subject.other Liquiditätsshocks de_DE
dc.subject.other Incomplete Market en
dc.subject.other Illiquidität de_DE
dc.subject.other System of differential equations en
dc.subject.other Linear Time-Varying (LTV) Systems en
dc.title Liquidity Shocks in Over-the-Counter Markets en
dc.title Liquiditätsschocks in Over the Counter Märkten de_DE
dc.type PhDThesis de_DE
dcterms.dateAccepted 2014-10-10
utue.publikation.fachbereich Wirtschaftswissenschaften de_DE
utue.publikation.fakultaet 6 Wirtschafts- und Sozialwissenschaftliche Fakultät de_DE


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