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Aggregate implications of micro asset market segmentation

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Author Info

  • Pierre-Olivier Weill

    (UCLA)

  • Chris Edmond

    (NYU Stern)

Abstract

A large body of empirical work documents that specialized asset markets (e.g. stocks, bonds, derivatives) seem to be segmented: local asset prices are driven in part by local factors such as local demand or local changes in idiosyncratic risk. The goal of this paper is to study the aggregate implications of such local asset market segmentation. We develop a model of a financial system comprised of a large number of partially segmented asset markets. We use the model to ask whether local market segmentation can help explain standard macro asset pricing facts.

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Bibliographic Info

Paper provided by Society for Economic Dynamics in its series 2008 Meeting Papers with number 481.

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Date of creation: 2008
Date of revision:
Handle: RePEc:red:sed008:481

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Web page: http://www.EconomicDynamics.org/society.htm
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References

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Cited by:
  1. Fernando Alvarez & Francesco Lippi, 2010. "Persistent Liquidity Effect and Long Run Money Demand," EIEF Working Papers Series 1017, Einaudi Institute for Economics and Finance (EIEF), revised Oct 2010.
  2. Zhiguo He & Arvind Krishnamurthy, 2013. "Intermediary Asset Pricing," American Economic Review, American Economic Association, vol. 103(2), pages 732-70, April.

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