On the impact of fundamentals, liquidity and coordination on market stability

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Daníelsson, J. and F. Penaranda (2011). On the impact of fundamentals, liquidity and coordination on market stability. International Economics Review 3, 621–638.

Complex interactions between fundamentals and liquidity during unstable periods in financial markets are succinctly modeled with co-ordination games. We propose a flexible framework to estimate such a model and use the efficient method of moments as estimation process. 

@ARTICLE{DanielssonPenaranda2011,
  author =  {J{\'o}n Dan{\'i}elsson and F Penaranda},
  title =   {On the impact of fundamentals, liquidity and coordination
                  on market stability},
  journal = "International Economics Review",
  volume =  {3},
  pages =   {621--638},
  year =    2011,
  url =     {https://ssrn.com/abstract=1002836},
 }

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