Search in asset markets: market structure, liquidity, and welfare
AbstractThis paper investigates how market structure affects efficiency and several dimensions of liquidity in an asset market. To this end, we generalize the search-theoretic model of financial intermediation of Darrell Duffie et al. (2005) to allow for entry of dealers and unrestricted asset holdings.
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Bibliographic InfoPaper provided by Federal Reserve Bank of Cleveland in its series Working Paper with number 0701.
Date of creation: 2007
Date of revision:
Other versions of this item:
- Ricardo Lagos & Guillaume Rocheteau, 2007. "Search in Asset Markets: Market Structure, Liquidity, and Welfare," American Economic Review, American Economic Association, vol. 97(2), pages 198-202, May.
- NEP-ALL-2007-03-03 (All new papers)
- NEP-COM-2007-03-03 (Industrial Competition)
- NEP-DGE-2007-03-03 (Dynamic General Equilibrium)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ricardo Lagos & Guillaume Rocheteau, 2006.
"Search in Asset Markets,"
2006 Meeting Papers
869, Society for Economic Dynamics.
- Michael J. Barclay & William G. Christie & Jeffrey H. Harris & Eugene Kandel & Paul H. Schultz, 1999. "Effects of Market Reform on the Trading Costs and Depths of Nasdaq Stocks," Journal of Finance, American Finance Association, vol. 54(1), pages 1-34, 02.
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"Liquidity in Frictional Asset Markets,"
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- Pierre-Olivier Weill & Guillaume Rocheteau & Ricardo Lagos, 2010.
"Crises and Liquidity in Over-the-counter Markets,"
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500, Society for Economic Dynamics.
- Stephen D. Williamson & Randall Wright, 2010.
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- Ricardo Lagos, 2006.
"Asset prices and liquidity in an exchange economy,"
373, Federal Reserve Bank of Minneapolis.
- Gara M. Afonso, 2008.
"Liquidity and congestion,"
349, Federal Reserve Bank of New York.
- Ricardo Lagos, 2008. "The Research Agenda: Ricardo Lagos on Liquidity and the Search Theory of Money," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 10(1), November.
- Shoko Morimoto, 2009. "Asset markets can achieve efficiency in the directed search framework," Discussion Papers in Economics and Business 09-33, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
- Ricardo Lagos & Guillaume Rocheteau & Pierre-Olivier Weill, 2008.
"Crashes and Recoveries in Illiquid Markets,"
NBER Working Papers
14119, National Bureau of Economic Research, Inc.
- Pierre-Olivier Weill & Guillaume Rocheteau & Ricardo Lagos, 2007. "Crashes and Recoveries in Illiquid Markets," 2007 Meeting Papers 981, Society for Economic Dynamics.
- Ricardo Lagos & Guillaume Rocheteau & Pierre-Olivier Weill, 2007. "Crashes and recoveries in illiquid markets," Working Paper 0708, Federal Reserve Bank of Cleveland.
- Georges, Christophre, 2008. "Staggered updating in an artificial financial market," Journal of Economic Dynamics and Control, Elsevier, vol. 32(9), pages 2809-2825, September.
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