Guner Velioglu, Semih Uslu Feb 06,2024
Working Paper No.00138-00
We develop a dynamic model of a multi-asset over-the-counter (OTC) market that operates via search and bargaining and empirically test... Read More
James Dow , Jungsuk Han Francesco Sangiorgi Jun 24,2024
Working Paper No.00140-00
Will arbitrage capital flow into markets experiencing shocks, mitigating adverse effects on price efficiency? Not necessarily. In a dynamic model... Read More
Alexander Ober, Patrick Blonien Sep 02,2024
Working Paper No.00142-00
Are daily market closures still needed? In a model of large traders who manage inventory risk, we show that even... Read More
Yu An Apr 30,2023
Working Paper No.00099-00
I introduce a new approach, model, and definition for analyzing demand effects in asset pricing. My approach generalizes arbitrage pricing,... Read More
Joel Hasbrouck,Thomas Rivera, Fahad Saleh Jul 10,2023
Working Paper No.00080-01
We demonstrate that increasing trading fees at a decentralized exchange (DEX) can increase DEX trading volume. This result arises due... Read More
Orit Milo, Jacob Sagi Jul 10,2023
Working Paper No.00103-00
We find that a measure of aggregate corporate debt maturity choices strongly predicts real GDP growth. The new measure compares... Read More
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
Michael Woeppel, Jordan Martel Aug 03,2023
Working Paper No.00124-00
We present a model of secured lending in which borrowers and lenders agree to disagree about collateral values. Lenders' beliefs... Read More
Christian Heyerdahl-Larsen,Howard Kung, Philipp Illeditsch Aug 20,2023
Working Paper No.00126-00
We study a macro-finance model with entrepreneurs who have diverse views about the likelihood that their ideas will lead to... Read More