This paper studies an equilibrium model with heterogeneous agents, asset price bubbles, and trading constraints. Market liquidity is modeled as a stochastic quantity impact from trading on the price. Bubbles are larger in liquid markets and when trading constraints are more binding. Systemic risk is defined as an unanticipated shock that results in the nonexistence of an equilibrium in the economy. A realization of systemic risk results in a significant loss of wealth. Systemic risk increases as: (i) the fraction of agents seeing an asset price bubble increases, (ii) as the market becomes more illiquid, and (iii) as trading constraints are relaxed.

中文翻译：

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资产价格泡沫，市场流动性和系统性风险

本文研究了一个具有异构主体，资产价格泡沫和交易约束的均衡模型。市场流动性被建模为交易对价格的随机数量影响。流动市场中的泡沫更大，而贸易约束更具约束力。系统性风险定义为导致经济中不存在均衡的意外冲击。系统性风险的实现导致财富的重大损失。系统性风险随着以下因素而增加：（i）看到资产价格泡沫的代理商比例，（ii）随着市场变得更加缺乏流动性，以及（iii）放宽交易约束。