Efstathios Avdis Oct 08,2020
Working Paper No.00051-02
Long-held intuition dictates that information-based trade is impossible without exogenous noise. Risk seekers can resolve this conundrum. Even though such... Read More
Thierry Foucault,Peter Hoffmann, Jean-Edouard Colliard Oct 08,2020
Working Paper No.00063-00
We propose a new model of trading in OTC markets. Dealers accumulate inventories by trading with end-investors and trade among... Read More
Gabrielle Demange, Jean-Edouard Colliard Oct 08,2020
Working Paper No.00064-00
In over-the-counter markets for assets such as bonds or securitizations, large volumes can be split into smaller pieces and gradually... Read More
Stefan Nagel,Zhaogang Song, Zhiguo He Nov 07,2020
Working Paper No.00067-00
In sharp contrast to most previous crisis episodes, the Treasury market experienced severe stress and illiquidity during the COVID-19 crisis,... Read More
Jing Huang,Jidong Zhou, Zhiguo He Nov 24,2020
Working Paper No.00068-00
Open banking facilitates data sharing consented by customers who generate the data, with a regulatory goal of promoting competition between... Read More
Peter DeMarzo , Zhiguo He Nov 24,2020
Working Paper No.00069-00
We characterize equilibrium leverage dynamics in a tradeoff model when the firm can continuously adjust leverage and cannot commit to... Read More
Benjamin Hebert , Barney Hartman-Glaser Jan 08,2019
Working Paper No.00049-00
We model the widespread failure of contracts to share risk using available indices. A borrower and lender can share risk... Read More
Brett Green , Vladimir Asriyan William Fuchs Mar 12,2019
Working Paper No.00034-03
We develop a rational theory of liquidity sentiments in which the market outcome in any given period depends on agents'... Read More
Published: American Economic Review, 2019, (), -Semih Uslu Mar 27,2019
Working Paper No.00050-00
I develop a search-and-bargaining model of endogenous intermediation in over-the-counter markets. Unlike the existing work, my model allows for rich... Read More
Published: Econometrica, 2019, 87(6), 2079-2140Dana Foarta, Vladimir Asriyan Victoria Vanasco Nov 05,2019
Working Paper No.00053-00
We study the joint determination of product quality and complexity in a rational setting. We introduce a novel notion of... Read More
Published: AEJ-Micro, 2023, 15(2), 187-226