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Working paper
A Dynamic Equilibrium Model of ETFs
In: Swiss Finance Institute Research Paper No. 15-37
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Working paper
Portfolio Selection with Options and Transaction Costs
In: Swiss Finance Institute Research Paper No. 14-08
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Concavity of the Consumption Function with Recursive Preferences
In: Swiss Finance Institute Research Paper No. 14-37
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Persuasion by Dimension Reduction
In: Swiss Finance Institute Research Paper No. 21-69
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An Intermediation-Based Model of Exchange Rates
In: BIS Working Paper No. 743
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An Intermediation-Based Model of Exchange Rates
In: Swiss Finance Institute Research Paper No. 18-14
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Dominant Currency Debt
In: Swiss Finance Institute Research Paper No. 18-55
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Intermediation Markups and Monetary Policy Pass-Through
In: CEPR Discussion Paper No. DP12623
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An Intermediation-Based Model of Exchange Rates
In: CEPR Discussion Paper No. DP13182
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Working paper
Decentralized Exchange
In: American economic review, Band 107, Heft 11, S. 3320-3362
ISSN: 1944-7981
Most assets are traded in multiple interconnected trading venues. This paper develops an equilibrium model of decentralized markets that accommodates general market structures with coexisting exchanges. Decentralized markets can allocate risk among traders with different risk preferences more efficiently, thus realizing gains from trade that cannot be reproduced in centralized markets. Market decentralization always increases price impact. Yet, markets in which assets are traded in multiple exchanges, whether they are disjoint or intermediated, can give higher welfare than the centralized market with the same traders and assets. In decentralized markets, demand substitutability across assets is endogenous and heterogeneous among traders. (JEL D43, D44, D85, G11, G12)
Non-Myopic Betas
In: Journal of Financial Economics (JFE), Band 129, Heft 2
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Liquidity, Innovation, and Endogenous Growth
In: ECB Working Paper No. 1919
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Market Integration and Global Crashes
In: CEPR Discussion Paper No. DP11468
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