@ARTICLE{26543120_77416367_2012, 
	author = {Alexander Smirnov}, 
	keywords = {, credit, money market, bid-ask spreadnonuniform oscillator},
	title = {Credit Spreads Oscillations},
	journal = {HSE Economic Journal },
	year = {2012},
	volume = {16},
	number = {4},
	pages = {444-463},
	url = {https://ej.hse.ru/en/2012-16-4/77416367.html},
	publisher = {},
	abstract = {A simple model is used to study behavior of a money market. The latter is viewed as an activity of investors placing orders to buy or to sell, and market-makers assigning prices to credit products. Under the assumption of a random fluctuation of demand and supply the credit market demonstrates some features of disequilibrium in its «physical» aspect. In terms of liquidity the persistent nonzero bid-ask spreads form the credit market compensatory effects. Thus the spreads dynamics are of the phase-locked (quasi)periodic nature, and in the high-frequency domain it could be studied as a non-uniform oscillator.},
	annote = {A simple model is used to study behavior of a money market. The latter is viewed as an activity of investors placing orders to buy or to sell, and market-makers assigning prices to credit products. Under the assumption of a random fluctuation of demand and supply the credit market demonstrates some features of disequilibrium in its «physical» aspect. In terms of liquidity the persistent nonzero bid-ask spreads form the credit market compensatory effects. Thus the spreads dynamics are of the phase-locked (quasi)periodic nature, and in the high-frequency domain it could be studied as a non-uniform oscillator.}
}