Jason Allen, Milena Wittwer Jul 18,2023
Working Paper No.00110-00
We examine how intermediary capitalization affects asset prices in a framework that allows for intermediary market power. We introduce a... Read More
Jason Allen,Jakub Kastl, Milena Wittwer Jul 18,2023
Working Paper No.00111-00
Leveraging an institutional feature that Treasury auctions of different maturities are often held simultaneously, we propose a method for estimating... Read More
Chaojun Wang Nov 14,2022
Working Paper No.00084-00
On many important multi-dealer platforms, customers mostly request quotes from very few dealers. I build a model of multi-dealer platforms... Read More
Christian Heyerdahl-Larsen, Philipp Illeditsch Dec 13,2019
Working Paper No.00058-00
We develop an overlapping generations model with disagreement about the cross-sectional distribution of investors’ preferences and beliefs. This disagreement implies... Read More
Songzi Du, Haoxiang Zhu Jul 06,2018
Working Paper No.00039-00
This paper studies the impact of increasing trading frequency in financial markets on allocative efficiency. We build and solve... Read More