Alexander Smirnov1
  • 1 National Research University Higher School of Economics, 20 Myasnitskaya Str., Moscow, 101000, Russian Federation

Credit Spreads Oscillations

2012. Vol. 16. No. 4. P. 444–463 [issue contents]
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.
Citation: Smirnov Aleksandr Alexandr Dm. (2012) Ostsillyatsii spredov tsen korotkogo kredita [Credit Spreads Oscillations] Ekonomicheskiy zhurnal VShE, 4, pp. 444-463 (in Russian)
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