 | Associate Professor of Economics, UCLA Verified email at econ.ucla.edu Cited by 494 |
We propose a model in which assets with identical cash flows can trade at different prices.
Infinitely-lived agents can establish long positions in a search spot market, or short positions
by first borrowing an asset in a search repo market. We show that short-sellers can ...
PO Weill - The Review of Economic Studies, 2007 - restud.oxfordjournals.org
Abstract During financial disruptions, market makers provide liquidity by absorbing external
selling pressure. They buy when the pressure is large, accumulate inventories, and sell
when the pressure alleviates. This paper studies optimal dynamic liquidity provision in a ...
S Van Nieuwerburgh… - 2006 - nber.org
We investigate the 30 year increase in the level and dispersion of house prices across US
metropolitan areas in a calibrated dynamic general equilibrium island model. The model is
based on two main assumptions: households flow in and out metropolitan areas in ...
PO Weill - Journal of Economic Theory, 2008 - Elsevier
This paper develops a search-theoretic model of the cross-sectional distribution of asset
returns, abstracting from risk premia and focusing exclusively on liquidity. In contrast with
much of the transaction-cost literature, it is not assumed that different assets carry different ...
M Amador… - 2008 - nber.org
We study the effect of releasing public information about productivity or monetary shocks
when agents learn from nominal prices. While public releases have the benefit of providing
new information, they can have the cost of reducing the informational efficiency of the ...
We study the dynamics of liquidity provision by dealers during an asset market crash,
described as a temporary negative shock to investors aggregate asset demand. We
consider a class of dynamic market settings where dealers can trade continuously with ...
We study the efficiency of liquidity provision by dealers and the desirability of policy
intervention in over-the-counter (OTC) markets during crises. We emphasizes two OTC
frictions: finding counterparties takes time, and trade is bilateral and involves bargaining. ...
B Biais… - 2009 - nber.org
We propose a dynamic competitive equilibrium model of limit order trading, based on the
premise that investors cannot monitor markets continuously. We study how limit order
markets absorb transient liquidity shocks, which occur when a significant fraction of ...
M Amador… - 2006 - mpra.ub.uni-muenchen.de
We study how a continuum of agents learn about disseminated information by observing
others' actions. Every period each agent observes a public and private noisy signal centered
around the aggregate action taken by the population. The public signal represents an ...
C Edmond… - The New Palgrave Dictionary of …, 2008 - pages.stern.nyu.edu
Abstract An exogenous increase in the money supply is typically followed by a temporary fall
in nominal interest rates. Flexible price macroeconomic models argue that this liquidity effect
arises because asset markets are segmented. That is, only a fraction of agents are present ...
SV Nieuwerburgh… - NBER Working Papers, 2006 - econpapers.repec.org
We investigate the 30 year increase in the level and dispersion of house prices across US
metropolitan areas in a calibrated dynamic general equilibrium island model. The model is
based on two main assumptions: households flow in and out metropolitan areas in ...
C Edmond… - 2009 - nber.org
This paper develops a consumption-based asset pricing model to explain and quantify the
aggregate implications of a frictional financial system, comprised of many financial markets
partially integrated with one-another. Each of our micro financial markets is inhabited by ...
JA Birchenall, T Guo, W Hawkins, M Kapicka… - 2010 - econ.ucsb.edu
Abstract This paper studies a general equilibrium island model of mismatch and examines
the stationary properties of the equilibrium. Aggregate demand is uncertain and market
participants cannot instantaneously adjust to changes in demand. Changes in ...
S Gregoir… - Journal of Economic Dynamics and Control, 2007 - Elsevier
This paper studies a cobweb economy in which agents make decisions using a misspecified
model of their stochastic environment. Specifically, the agents' model of the price process is
restricted to be a moving average of order q (MA (q)), minimizing the mean square of their ...
[CITATION] oWhy Has House Price Disper& sion Gone Up
S van Nieuwerburgh… - 2006 - pNYU mimeo. 0.000
B Biais, J Hombert… - 2010 - cepr.org
Page 1. Trading and liquidity with imperfect cognition Bruno Biais (Toulouse), Johan Hombert
(HEC) & Pierre-Olivier Weill (UCLA) Presentation prepared for the European Symposium in
Economic Theory Gerzensee, August 2010 Page 2. “The perception of the intellect extends ...
B Biais, J Hombert… - 2010 - nber.org
We study the reaction of financial markets to aggregate liquidity shocks when traders face
cognition limits. While each financial institution recovers from the shock at a random time,
the trader representing the institution observes this recovery with a delay reflecting the ...
[CITATION] Crises and liquidity in otc markets
R Lagos, G Rocheteau… - 2007 - Working Paper, NYU, UCI, UCLA
G Rocheteau… - Journal of Money, Credit and Banking, 2011 - Wiley Online Library
On November 14–15, 2008, the Federal Reserve Bank of Cleveland hosted a conference on
“Liquidity in frictional asset markets.” In this paper, we review the literature on asset markets
with trading frictions in both finance and monetary theory using a simple search-theoretic ...
M Amador… - 2007 - economics.sas.upenn.edu
Abstract We present a micro-founded monetary economy where agents are uncertain about
both an aggregate productivity parameter and the monetary aggregate. We show that when
agents learn from the distribution of prices, an increase in public information about the ...
PO Weill - Macroeconomic Dynamics, 2011 - Cambridge Univ Press
Abstract We study a competitive dynamic financial market subject to a transient selling
pressure when market makers face a capacity constraint on their number of trades per unit of
time with outside investors. We show that profit-maximizing market makers provide ...
B Biais, J Hombert… - 2010 - nber.org
Section II, page 7, considers an equilibrium where traders can only submit market orders,
and compare it to the case in which they can also submit limit orders (Proposition 9 in BHW)
and to the case in which they can also submit algorithms (Proposition 1 in BHW).
B Biais, J Hombert… - 2012 - appli8.hec.fr
Abstract We study the reaction of financial markets to aggregate liquidity shocks when
investors have sticky plans. Trading plans are updated infrequently because investors are
busy completing other tasks and because of the delays induced by the time it takes to ...
[CITATION] Exercises in Recursive Macroeconomic Theory, manuscript
L Ljungqvist, H Lustig, R Manuelli, TJ Sargent… - 2001 - Stanford University, September
PO Weill - 2004 - en.scientificcommons.org
M Amador… - sites.google.com
Section V, page 10, derives conditions for unique and multiple equilibria. We show how
these conditions are affected by public information. In particular, because of multiplicity,
public information can have discontinuous negative effects on total knowledge and ...
C Edmond… - pages.stern.nyu.edu
Abstract An exogenous increase in the money supply is typically followed by a temporary fall
in nominal interest rates. Flexible price macroeconomic models argue that this liquidity effect
arises because asset markets are segmented. That is, only a fraction of the agents are ...
C Edmond… - 2011 - chrisedmond.net
This online appendix is organized as follows. In Appendix I we present the general version
of our model and drive the first order conditions that are used to characterize asset prices. In
Appendix II we explain our computational procedure for solving the model. In Appendix III ...
AG Atkeson, AL Eisfeldt… - 2012 - econ.ucdavis.edu
Abstract We develop a search and matching model of a derivatives trading network. In
equilibrium, the large volume of bilateral trade creates an endogenous network of credit
exposures in which banks are linked together by a complex liability structure. Gross credit ...
B Biais, J Hombert… - 2012 - appli8.hec.fr
Section II, page 7, considers an equilibrium where investors can only submit market orders,
and compare it to the case in which they can also submit limit orders (Proposition 9 in BHW)
and to the case in which they can also submit trigger orders (Proposition 1 in BHW).
We propose a model in which assets with identical cash flows can trade at different prices.
Infinitely-lived agents can establish long positions in a search spot market, or short positions
by first borrowing an asset in a search repo market. We show that short-sellers can ...
We study an over-the-counter (OTC) market with bilateral meetings and bargaining where
the usefulness of assets, as means of payment or collateral, is limited by the threat of
fraudulent practices. We assume that agents can produce fraudulent assets at a positive ...
J Haubrich, G Rocheteau,
PO Weill… - 2009 - papers.ssrn.com
Abstract: This paper summarizes the papers that were presented at the Liquidity in Frictional
Markets conference in November 2008. The papers, which looked at markets for assets as
diverse as houses, bank loans, and electronic funds transfer, all explored that amorphous ...
A Eisfeldt… - 2011 - papers.ssrn.com
Abstract: This project studies derivatives markets, where liquidity depends crucially on a
small group of key dealer banks with large trading activities. We plan to consider a
theoretical over-the-counter market in which a few large dealer banks searches and ...
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