Серия семинаров Международной лаборатории финансовой экономики.

В пятницу, 27 июня в 17.00 в аудитории 3211 (ул. Шаболовка д. 26, корпус 3) состоится серия семинаров Международной лаборатории финансовой экономики.

С докладами на семинарах выступят:

• Удара Пейрис (МИЭФ, ВШЭ) Тема доклада: «On Endogeneous Default and Investment», joint with Charles Goodhart and Dimitri Tsomocos
• Кристиан Джуллиард (ЛФЭ) Тема доклада: «Information Asymmetries, Volatility, Liquidity, and the Tobin Tax», joint with Albina Danilova

 

On Endogeneous Default and Investment
Тезисы доклада: We develop a stylized RBC model where there is a seperation of production decisions (by firms) from savings decisions (by households). Households extend loans to firms to finance production through a competitive debt market. Moral Hazard permits the possibility of default, and borrowers incur a non-pecuniary cost if they chose to default.  This generates a wedge between the expected rate of return on savings and the expected return on capital affecting the aggregate capital stock. As a result, shocks to productivity are amplified and propagated and highlights an alternative channel through which credit conditions determine the optimal savings path.

Information Asymmetries, Volatility, Liquidity, and the Tobin Tax
Тезисы доклада: We develop a tractable model in which trade is generated by asymmetry in agents' information sets. We show that, even if news are not generated by a stochastic volatility process, in the presence of information treatment and/or order processing costs, the (unique) equilibrium price process is characterised by stochastic volatility. The intuition behind this result is simple. In the presence of trading costs and dynamic information, agents strategically chose their trading times. Since new information is released to the market only at trading times, the price process sampled at trading times is not characterised by stochastic volatility. But since trading and calendar times differ, the price process at calendar times is the time change of the price process at trading times, i.e. price movements on the calendar time scale are characterised by stochastic volatility. Our closed form solutions imply that: i) volatility is autocorrelated and is a non-linear function of both number and volume of trades; ii) the relative informativeness of numbers and volume of trades depends on the sampling frequency of the data; iii) volatility, the limit order book, and liquidity, in terms of tightness, depth, and resilience, are jointly determined by information asymmetries and trading costs. The model is able to rationalise a large set of empirical evidence about stock market volatility, liquidity, limit order books, and market frictions, and provides a natural laboratory for analysing the equilibrium effects of a financial transaction tax.

Приглашаются все желающие.
Для оформления пропуска в ВШЭ свяжитесь с нами:
по тел. 772-95-90*26090 
e-mail: vzheleznov@hse.ru