TY  - JOUR
TI  - Credit Spreads Oscillations
T2  - HSE Economic Journal 
IS  - HSE Economic Journal 
KW  - credit
KW  - money market
KW  - bid-ask spread
KW  - nonuniform oscillator
AB  - 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.
AU  - Alexander Smirnov
UR  - https://ej.hse.ru/en/2012-16-4/77416367.html
PY  - 2012
SP  - 444-463
VL  - 16