Office of Financial Research Update: "An Agent-Based Model For Crisis Liquidity Dynamics"

The OFR released a working paper today entitled, "An Agent-based Model for Crisis Liquidity Dynamics" and an accompanying blog by Greg Feldberg, OFR Acting Deputy Director for Research and Analysis. This paper presents an agent-based model for examining price impacts and liquidity dynamics during financial crises, which are often characterized by sharp reductions in liquidity followed by cascades of falling prices. The model highlights the implications of changes in market makers' ability to provide intermediation services and the decision cycles of liquidity demanders versus liquidity suppliers during a crisis.

The blog is posted at: http://financialresearch.gov/from-the-management-team/.

The working paper is posted on the OFR website at: http://financialresearch.gov/working-papers/.

The OFR home page is at: http://financialresearch.gov.