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User profiles for author:"Pierre-Olivier Weill"

Pierre-Olivier Weill

Associate Professor of Economics, UCLA
Verified email at econ.ucla.edu
Cited by 494

A search-based theory of the on-the-run phenomenon

[PDF] from lse.ac.uk
D Vayanos… - 2006 - nber.org
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 ...
Cited by 86 - Related articles - BL Direct - All 51 versions

Leaning against the wind

[TXT] from nyu.edu
Full text - MIT Libraries
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 ...
Cited by 79 - Related articles - BL Direct - All 42 versions

Why has house price dispersion gone up?

[TXT] from nyu.edu
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 ...
Cited by 74 - Related articles - Library Search - BL Direct - All 42 versions

Liquidity premia in dynamic bargaining markets

[TXT] from nyu.edu
Full text - MIT Libraries
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 ...
Cited by 73 - Related articles - All 24 versions

Learning from prices: Public communication and welfare

[PDF] from stanford.com
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 ...
Cited by 43 - Related articles - Library Search - All 16 versions

Crashes and recoveries in illiquid markets

[PDF] from newyorkfed.org
R Lagos, G Rocheteau… - 2008 - nber.org
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 ...
Cited by 20 - Related articles - Library Search - BL Direct - All 31 versions

Crises and liquidity in over-the-counter markets

[PDF] from psu.edu
R Lagos, G Rocheteau… - Journal of Economic Theory, 2011 - Elsevier
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. ...
Cited by 20 - Related articles - Get it from MIT Libraries - Library Search - All 21 versions

Liquidity shocks and order book dynamics

[PDF] from lse.ac.uk
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 ...
Cited by 18 - Related articles - Library Search - All 79 versions

Learning from Private and Public Observation of Other's Actions

[PDF] from uni-muenchen.de
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 ...
Cited by 46 - Related articles - All 34 versions

[PDF] Models of the Liquidity Effect

[PDF] from nyu.edu
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 ...
Cited by 11 - Related articles - View as HTML - All 3 versions

Why Has House Price Dispersion Gone Up?

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 ...
Cited by 4 - Related articles - Cached - All 2 versions

Aggregate implications of micro asset market segmentation

[PDF] from unimelb.edu.au
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 ...
Cited by 4 - Related articles - Library Search - All 40 versions

[PDF] A Competitive Theory of Mismatch

[PDF] from ucsb.edu
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 ...
Cited by 4 - Related articles - View as HTML - All 3 versions

Restricted perception equilibria and rational expectation equilibrium

[PDF] from acrobatplanet.com
Full text - MIT Libraries
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 ...
Cited by 3 - Related articles - All 11 versions

[CITATION] oWhy Has House Price Disper& sion Gone Up

S van Nieuwerburgh… - 2006 - pNYU mimeo. 0.000
Cited by 3 - Related articles

[PDF] Trading and liquidity with imperfect cognition

[PDF] from cepr.org
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 ...
Cited by 3 - Related articles - View as HTML

Trading and Liquidity with Limited Cognition

[PDF] from hec.ca
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 ...
Cited by 4 - Related articles - Library Search - All 53 versions

[CITATION] Crises and liquidity in otc markets

R Lagos, G Rocheteau… - 2007 - Working Paper, NYU, UCI, UCLA
Cited by 3 - Related articles

Liquidity in frictional asset markets

[PDF] from grocheteau.com
Full text - MIT Libraries
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 ...
Cited by 2 - Related articles - All 15 versions

[PDF] Learning from Prices: Central Bank Communication and Welfare

[PDF] from upenn.edu
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 ...
Cited by 1 - Related articles - View as HTML - All 4 versions

Liquidity Provision In Capacity-Constrained Markets

[PDF] from ucla.edu
Full text - MIT Libraries
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 ...
Cited by 1 - Related articles - All 8 versions

[PDF] Supplementary material for “trading and liquidity with limited cognition”

[PDF] from nber.org
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).
Cited by 1 - Related articles - View as HTML - All 3 versions

[PDF] Pricing and Liquidity with Sticky Trading Plans

[PDF] from hec.fr
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 ...
Cited by 1 - View as HTML

[CITATION] Exercises in Recursive Macroeconomic Theory, manuscript

L Ljungqvist, H Lustig, R Manuelli, TJ Sargent… - 2001 - Stanford University, September
Cited by 1 - Related articles

[CITATION] Essays on liquidity in financial markets

PO Weill - 2004 - en.scientificcommons.org
Related articles - Cached - Library Search - All 2 versions

[PDF] Online Appendix to:“Learning from Prices: Public Communication and Welfare”

[PDF] from google.com
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 ...
Related articles - View as HTML

[PDF] The New Palgrave Dictionary of Economics Online

[PDF] from nyu.edu
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 ...
Related articles - View as HTML - All 3 versions

[PDF] Aggregate Implications of Micro Asset Market Segmentation: Online Supplementary Appendix

[PDF] from chrisedmond.net
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 ...
Related articles - View as HTML - All 2 versions

[PDF] Liquidity and Fragility in OTC Credit Derivatives Markets

[PDF] from ucdavis.edu
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 ...
View as HTML

[PDF] Supplementary Material for “Pricing and Liquidity with Sticky Trading Plans”

[PDF] from hec.fr
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).
View as HTML

DP5965 A Search-Based Theory of the On-the-Run Phenomenon

D Vayanos… - 2006 - cepr.org
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 ...
Cached - All 3 versions

Liquidity and the Threat of Fraudulent Assets

[PDF] from upenn.edu
Y Li, G Rocheteau… - 2011 - nber.org
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 ...
Cited by 1 - Related articles - All 14 versions

A conference on liquidity in frictional markets

[PDF] from clevelandfed.org
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 ...
All 13 versions

Liquidity and Fragility in Derivative Dealer Markets

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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