Volatility Dynamics and Liquidity (Presentation Slides)
14 Pages Posted: 15 Jan 2020
Date Written: September 6, 2019
Presentation on the ambivalent role of liquidity in economic stability. A model of speculation, volatility dynamics and liquidity is developed. A natural explanation of extreme randomness is offered. It is shown that news driven expectations imply clustered volatility.
Keywords: Volatility dynamics, speculation, bank credit, liquidity
JEL Classification: G12, G14
Suggested Citation: Suggested Citation