ON THE IMPACT OF FUNDAMENTALS, LIQUIDITY, AND COORDINATION ON MARKET STABILITY*
构建了一个协调博弈模型，研究金融不稳定时期基本面与流动性的相互作用，并提出了灵活的计量框架进行估计和定量分析。实证应用于日元-美元市场的利差交易，发现市场深度大、信息不对称低，但存在价格“上楼梯、下电梯”的脆弱性事件。
We develop a coordination game to model interactions between fundamentals and liquidity during unstable periods in financial markets. We then propose a flexible econometric framework for estimation of the model and analysis of its quantitative implications. The specific empirical application is carry trades in the yen-dollar market, including the turmoil of 1998. We find a generally very deep market, with low information disparities among agents. We observe occasional episodes of market fragility or turmoil withup by the escalator, down by the elevatorpatterns in prices. The key role of strategic behavior in the econometric model is also confirmed.