Essays in financial history

Do market frictions influence asset prices? The first part examines whether financial intermediaries’ balance sheet capacity, their funding liquidity, can influence market liquidity, volatility, and price patterns. Using a historical case study this part suggests that when a liquidity provider is ba...

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Detalles Bibliográficos
Autor: Gissler, Stefan
Tipo de recurso: tesis doctoral
Estado:Versión publicada
Fecha de publicación:2014
País:España
Institución:CBUC, CESCA
Repositorio:TDR. Tesis Doctorales en Red
OAI Identifier:oai:www.tdx.cat:10803/283092
Acceso en línea:http://hdl.handle.net/10803/283092
Access Level:acceso abierto
Palabra clave:Financial Economics
Asset Price Volatility
Economic History
Economia Financera
Volatilitat d’Actius Financers
Història Econòmica
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Descripción
Sumario:Do market frictions influence asset prices? The first part examines whether financial intermediaries’ balance sheet capacity, their funding liquidity, can influence market liquidity, volatility, and price patterns. Using a historical case study this part suggests that when a liquidity provider is balance sheet constrained, markets become illiquid and prices move. The second part looks at Germany’s 1927 stock market crash. It sheds light on the relationship between leverage and asset price behavior. The results indicate that a bank’s credit policy influenced asset prices – an expansive policy dampened volatility and increased returns. A sharp cut in margin credit led to larger price fluctuations. The third part looks at the connection between the financial side and the real side of the economy. Testing the theory of rational bubbles, it suggests that in 18th century England government debt increased consumers’ welfare by giving them a safe store of value.