Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/104618 
Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
Bundesbank Discussion Paper No. 31/2014
Verlag: 
Deutsche Bundesbank, Frankfurt a. M.
Zusammenfassung: 
We use a Diamond/Dybvig-based model with two banks operating in separate regions connected by a common asset market in which banks and sophisticated depositors invest. We study the effect of a potential run (crisis) and subsequent fire sales on the asset price in both the crisis and no-crisis state. In our model, the two are jointly determined by a cash-in-the-market pricing and a no-arbitrage condition. We find that (i) a higher crisis probability increases the liquidity premium and thus asset prices in the normal and crisis case and (ii) a higher share of sophisticated investors increases market depth and thus the crisis price while it might also raise the asset price in the normal state.
Schlagwörter: 
liquidity risk
financial crises
contagion
asset price bubbles
JEL: 
G21
G23
G12
ISBN: 
978-3-95729-079-3
Dokumentart: 
Working Paper
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