The Search Theory of Over-the-Counter Markets
In: Annual Review of Economics, Band 12, S. 747-773
47 Ergebnisse
Sortierung:
In: Annual Review of Economics, Band 12, S. 747-773
SSRN
SSRN
Working paper
SSRN
Working paper
In: Journal of Monetary Economics, Band 59, Heft 4, S. 319-335
In: Journal of political economy, Band 118, Heft 5, S. 866-907
ISSN: 1537-534X
In: NBER Working Paper No. w15009
SSRN
Working paper
In: NBER Working Paper No. w15254
SSRN
In: NBER Working Paper No. w14255
SSRN
In: Journal of economic dynamics & control, Band 31, Heft 1, S. 81-109
ISSN: 0165-1889
In: NBER Working Paper No. w12670
SSRN
Working paper
In: NBER Working Paper No. w12538
SSRN
In: American economic review, Band 111, Heft 11, S. 3575-3610
ISSN: 1944-7981
Incentive problems make securities' payoffs imperfectly pledgeable, limiting agents' ability to issue liabilities. We analyze the equilibrium consequences of such endogenous incompleteness in a dynamic exchange economy. Because markets are endogenously incomplete, agents have different intertemporal marginal rates of substitution, so that they value assets differently. Consequently, agents hold different portfolios. This leads to endogenous markets segmentation, which we characterize with optimal transport methods. Moreover, there is a basis going always in the same direction: the price of a security is lower than that of replicating portfolios of long positions. Finally, equilibrium expected returns are concave in factor loadings. (JEL D51, D52, G11, G12)
In: Johns Hopkins Carey Business School Research Paper No. 19-07
SSRN
In: FRB of Philadelphia Working Paper No. 19-10
SSRN
Working paper
In: NBER Working Paper No. w25887
SSRN