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Dimitri Vayanos

Personal Details

First Name:Dimitri
Middle Name:
Last Name:Vayanos
Suffix:
RePEc Short-ID:pva498
[This author has chosen not to make the email address public]
https://personal.lse.ac.uk/vayanos/
Terminal Degree:1993 Economics Department; Massachusetts Institute of Technology (MIT) (from RePEc Genealogy)

Affiliation

Finance Department
London School of Economics (LSE)

London, United Kingdom
https://www.lse.ac.uk/Finance
RePEc:edi:fdlseuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Hardouvelis, Gikas A. & Vayanos, Dimitri, 2023. "The Greek economic crisis and the banks," LSE Research Online Documents on Economics 117880, London School of Economics and Political Science, LSE Library.
  2. Pierre-Olivier Gourinchas & Walker D. Ray & Dimitri Vayanos, 2022. "A Preferred-Habitat Model of Term Premia, Exchange Rates, and Monetary Policy Spillovers," NBER Working Papers 29875, National Bureau of Economic Research, Inc.
  3. Gikas Hardouvelis & Georgios Karalas & Dimitri Vayanos, 2021. "The Distribution of Investor Beliefs, Stock Ownership and Stock Returns," NBER Working Papers 28697, National Bureau of Economic Research, Inc.
  4. Vayanos, Dimitri & Jiang, Hao & Zheng, Lu, 2020. "Tracking Biased Weights: Asset Pricing Implications of Value-Weighted Indexing," CEPR Discussion Papers 15563, C.E.P.R. Discussion Papers.
  5. Hao Jiang & Dimitri Vayanos & Lu Zheng, 2020. "Passive Investing and the Rise of Mega-Firms," NBER Working Papers 28253, National Bureau of Economic Research, Inc.
  6. Pierre-Olivier Gourinchas & Thomas Philippon & Dimitri Vayanos, 2016. "The Analytics of the Greek Crisis," NBER Working Papers 22370, National Bureau of Economic Research, Inc.
  7. Markus K. Brunnermeier & Luis Garicano & Philip Lane & Marco Pagano & Ricardo Reis & Tano Santos & David Thesmar & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2016. "The Sovereign-Bank Diabolic Loop and ESBies," NBER Working Papers 21993, National Bureau of Economic Research, Inc.
  8. Markus K. Brunnermeier & Sam Langfield & Marco Pagano & Ricardo Reis & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2016. "ESBies: Safety in the tranches," Discussion Papers 1627, Centre for Macroeconomics (CFM).
  9. Gourinchas, Pierre-Olivier & Philippon, Thomas & Vayanos, Dimitri, 2016. "The analytics of the Greek crisis: celebratory centenary issue," LSE Research Online Documents on Economics 67368, London School of Economics and Political Science, LSE Library.
  10. Denis Gromb & Dimitri Vayanos, 2015. "The Dynamics of Financially Constrained Arbitrage," NBER Working Papers 20968, National Bureau of Economic Research, Inc.
  11. Robin Greenwood & Samuel Hanson & Dimitri Vayanos, 2015. "Forward Guidance in the Yield Curve: Short Rates versus Bond Supply," NBER Working Papers 21750, National Bureau of Economic Research, Inc.
  12. Erik Eyster & Matthew Rabin & Dimitri Vayanos, 2015. "Financial Markets where Traders Neglect the Informational Content of Prices," NBER Working Papers 21224, National Bureau of Economic Research, Inc.
  13. Andrea M. Buffa & Dimitri Vayanos & Paul Woolley, 2014. "Asset Management Contracts and Equilibrium Prices," NBER Working Papers 20480, National Bureau of Economic Research, Inc.
  14. Péter Kondor & Dimitri Vayanos, 2014. "Liquidity Risk and the Dynamics of Arbitrage Capital," NBER Working Papers 19931, National Bureau of Economic Research, Inc.
  15. Dimitri Vayanos & Jiang Wang, 2012. "Liquidity and Asset Returns under Asymmetric Information and Imperfect Competition," FMG Discussion Papers dp708, Financial Markets Group.
  16. Dimitri Vayanos & Denis Gromb, 2012. "Financially constrained arbitrage and cross-market contagion," 2012 Meeting Papers 112, Society for Economic Dynamics.
  17. Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity - Theory and Empirical Evidence," FMG Discussion Papers dp709, Financial Markets Group.
  18. Stephane Guibaud & Yves NOsbusch & Dimitri Vayanos, 2011. "Bond Market Clienteles, the Yield Curve and the Optimal Maturity Structure of Government Debt," FMG Discussion Papers dp669, Financial Markets Group.
  19. Iryna Kaminska & Dimitri Vayanos & Gabriele Zinna, 2011. "Preferred-Habitat Investors and the US Term Structure of Real Rates," FMG Discussion Papers dp674, Financial Markets Group.
  20. Dimitri Vayanos & Paul Woolley, 2011. "Fund Flows and Asset Prices: A Baseline Model," FMG Discussion Papers dp667, Financial Markets Group.
  21. Dimitri Vayanos & Denis Gromb, 2010. "Limits of Arbitrage: The State of the Theory," FMG Discussion Papers dp650, Financial Markets Group.
  22. Greenwood, Robin & Vayanos, Dimitri, 2010. "Price pressure in the government bond market," LSE Research Online Documents on Economics 28618, London School of Economics and Political Science, LSE Library.
  23. Vayanos, Dimitri & ,, 2009. "A Preferred-Habitat Model of the Term Structure of Interest Rates," CEPR Discussion Papers 7547, C.E.P.R. Discussion Papers.
  24. Vayanos, Dimitri & Wang, Jiang, 2009. "Liquidity and Asset Prices: A Unified Framework," CEPR Discussion Papers 7410, C.E.P.R. Discussion Papers.
  25. Robin Greenwood & Dimitri Vayanos, 2008. "Bond Supply and Excess Bond Returns," NBER Working Papers 13806, National Bureau of Economic Research, Inc.
  26. Dimitri Vayanos & Paul Woolley, 2008. "An Institutional Theory of Momentum and Reversal," FMG Discussion Papers dp621, Financial Markets Group.
  27. Vayanos, Dimitri & Rabin, Matthew, 2007. "The Gambler's and Hot-Hand Fallacies: Theory and Applications," CEPR Discussion Papers 6081, C.E.P.R. Discussion Papers.
  28. Chau, Minh & Vayanos, Dimitri, 2005. "Strong-form efficiency with monopolistic insiders," LSE Research Online Documents on Economics 458, London School of Economics and Political Science, LSE Library.
  29. Matthew Rabin & Dimitri Vayanos, 2005. "The Gambler's and Hot-Hand Fallacies In a Dynamic-Inference Model," Levine's Bibliography 122247000000000972, UCLA Department of Economics.
  30. Pierre-Olivier Weill & Dimitri Vayanos, 2005. "A Search-Based Theory of the On-the-Run Phenomenon," 2005 Meeting Papers 701, Society for Economic Dynamics.
  31. Dimitri Vayanos, 2004. "Flight to Quality, Flight to Liquidity, and the Pricing of Risk," NBER Working Papers 10327, National Bureau of Economic Research, Inc.
  32. Dmitrios Vayanos, 2004. "Search and Endogenous Concentration of Liquidity in Asset Markets," Econometric Society 2004 North American Winter Meetings 647, Econometric Society.
  33. Vayanos, Dimitri, 2003. "The decentralization of information processing in the presence of interactions," LSE Research Online Documents on Economics 452, London School of Economics and Political Science, LSE Library.
  34. Gromb, Denis & Vayanos, Dimitri, 2001. "Equilibrium and Welfare in Markets with Financially Constrained Arbitrageurs," CEPR Discussion Papers 3049, C.E.P.R. Discussion Papers.
  35. Vayanos, Dimitri, 2001. "Strategic trading in a dynamic noisy market," LSE Research Online Documents on Economics 447, London School of Economics and Political Science, LSE Library.
  36. Zwiebel, Jeffrey H. & Vayanos, Dimitri & DeMarzo, Peter M., 2001. "Persuasion Bias, Social Influence, and Uni-Dimensional Opinions," Research Papers 1719, Stanford University, Graduate School of Business.
  37. Peter M. deMarzo & Dimitri Vayanos & Jeffrey Zwiebel, 2000. "A Model of Persuasion - With Implications for Financial Markets," Econometric Society World Congress 2000 Contributed Papers 1635, Econometric Society.
  38. Vayanos, Dimitri & Vila, Jean-Luc, 1999. "Equilibrium interest rate and liquidity premium with transaction costs," LSE Research Online Documents on Economics 453, London School of Economics and Political Science, LSE Library.
  39. Vayanos, Dimitri, 1999. "Strategic trading and welfare in a dynamic market," LSE Research Online Documents on Economics 449, London School of Economics and Political Science, LSE Library.
  40. Vayanos, Dimitri, 1998. "Transaction costs and asset prices : a dynamic equilibrium model," LSE Research Online Documents on Economics 451, London School of Economics and Political Science, LSE Library.
  41. Dimitri Vayanos & Diego Rodríguez, 1993. "Decentralization and the management of competition," Economics Working Papers 47, Department of Economics and Business, Universitat Pompeu Fabra.
  42. Dimitri Vayanos, 1993. "A Dynamic Model of an Imperfectly Competitive Bid-Ask Market," CEPR Financial Markets Paper 0040, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 33 Great Sutton Street, London EC1V 0DX..

Articles

  1. Andrea M. Buffa & Dimitri Vayanos & Paul Woolley, 2022. "Asset Management Contracts and Equilibrium Prices," Journal of Political Economy, University of Chicago Press, vol. 130(12), pages 3146-3201.
  2. Dimitri Vayanos & Jean‐Luc Vila, 2021. "A Preferred‐Habitat Model of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 89(1), pages 77-112, January.
  3. Péter Kondor & Dimitri Vayanos, 2019. "Liquidity Risk and the Dynamics of Arbitrage Capital," Journal of Finance, American Finance Association, vol. 74(3), pages 1139-1173, June.
  4. Erik Eyster & Matthew Rabin & Dimitri Vayanos, 2019. "Financial Markets Where Traders Neglect the Informational Content of Prices," Journal of Finance, American Finance Association, vol. 74(1), pages 371-399, February.
  5. Denis Gromb & Dimitri Vayanos, 2018. "The Dynamics of Financially Constrained Arbitrage," Journal of Finance, American Finance Association, vol. 73(4), pages 1713-1750, August.
  6. Pierre-Olivier Gourinchas & Thomas Philippon & Dimitri Vayanos, 2017. "The Analytics of the Greek Crisis," NBER Macroeconomics Annual, University of Chicago Press, vol. 31(1), pages 1-81.
  7. Markus K. Brunnermeier & Sam Langfield & Marco Pagano & Ricardo Reis & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2017. "ESBies: safety in the tranches," Economic Policy, CEPR;CES;MSH, vol. 32(90), pages 175-219.
  8. Markus K. Brunnermeier & Luis Garicano & Philip R. Lane & Marco Pagano & Ricardo Reis & Tano Santos & David Thesmar & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2016. "The Sovereign-Bank Diabolic Loop and ESBies," American Economic Review, American Economic Association, vol. 106(5), pages 508-512, May.
  9. Robin Greenwood & Dimitri Vayanos, 2014. "Bond Supply and Excess Bond Returns," Review of Financial Studies, Society for Financial Studies, vol. 27(3), pages 663-713.
  10. Allen, Franklin & Vayanos, Dimitri & Vives, Xavier, 2014. "Introduction to financial economics," Journal of Economic Theory, Elsevier, vol. 149(C), pages 1-14.
  11. Stéphane Guibaud & Yves Nosbusch & Dimitri Vayanos, 2013. "Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt," Review of Financial Studies, Society for Financial Studies, vol. 26(8), pages 1914-1961.
  12. Dimitri Vayanos & Paul Woolley, 2013. "An Institutional Theory of Momentum and Reversal," Review of Financial Studies, Society for Financial Studies, vol. 26(5), pages 1087-1145.
  13. Vayanos, Dimitri & Wang, Jiang, 2012. "Theories of Liquidity," Foundations and Trends(R) in Finance, now publishers, vol. 6(4), pages 221-317, November.
  14. Michael Joyce & David Miles & Andrew Scott & Dimitri Vayanos, 2012. "Quantitative Easing and Unconventional Monetary Policy – an Introduction," Economic Journal, Royal Economic Society, vol. 122(564), pages 271-288, November.
  15. Dimitri Vayanos & Jiang Wang, 2012. "Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition," Review of Financial Studies, Society for Financial Studies, vol. 25(5), pages 1339-1365.
  16. Denis Gromb & Dimitri Vayanos, 2010. "A Model of Financial Market Liquidity Based on Intermediary Capital," Journal of the European Economic Association, MIT Press, vol. 8(2-3), pages 456-466, 04-05.
  17. Matthew Rabin & Dimitri Vayanos, 2010. "The Gambler's and Hot-Hand Fallacies: Theory and Applications," Review of Economic Studies, Oxford University Press, vol. 77(2), pages 730-778.
  18. Robin Greenwood & Dimitri Vayanos, 2010. "Price Pressure in the Government Bond Market," American Economic Review, American Economic Association, vol. 100(2), pages 585-590, May.
  19. Denis Gromb & Dimitri Vayanos, 2010. "Limits of Arbitrage," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 251-275, December.
  20. Minh Chau & Dimitri Vayanos, 2008. "Strong-Form Efficiency with Monopolistic Insiders," Review of Financial Studies, Society for Financial Studies, vol. 21(5), pages 2275-2306, September.
  21. Dimitri Vayanos & Pierre‐Olivier Weill, 2008. "A Search‐Based Theory of the On‐the‐Run Phenomenon," Journal of Finance, American Finance Association, vol. 63(3), pages 1361-1398, June.
  22. Vayanos, Dimitri & Wang, Tan, 2007. "Search and endogenous concentration of liquidity in asset markets," Journal of Economic Theory, Elsevier, vol. 136(1), pages 66-104, September.
  23. Gromb, Denis & Vayanos, Dimitri, 2003. "Corrigendum to "Equilibrium and welfare in markets with financially constrained arbitrageurs" [J. Financial Economics 66 (2002) 361]," Journal of Financial Economics, Elsevier, vol. 67(3), pages 531-531, March.
  24. Dimitri Vayanos, 2003. "The Decentralization of Information Processing in the Presence of Interactions," Review of Economic Studies, Oxford University Press, vol. 70(3), pages 667-695.
  25. Peter M. DeMarzo & Dimitri Vayanos & Jeffrey Zwiebel, 2003. "Persuasion Bias, Social Influence, and Unidimensional Opinions," The Quarterly Journal of Economics, Oxford University Press, vol. 118(3), pages 909-968.
  26. Gromb, Denis & Vayanos, Dimitri, 2002. "Equilibrium and welfare in markets with financially constrained arbitrageurs," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 361-407.
  27. Dimitri Vayanos, 2001. "Strategic Trading in a Dynamic Noisy Market," Journal of Finance, American Finance Association, vol. 56(1), pages 131-171, February.
  28. Jean-Luc Vila & Dimitri Vayanos, 1999. "Equilibrium interest rate and liquidity premium with transaction costs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 13(3), pages 509-539.
  29. Dimitri Vayanos, 1999. "Strategic Trading and Welfare in a Dynamic Market," Review of Economic Studies, Oxford University Press, vol. 66(2), pages 219-254.
  30. Vayanos, Dimitri, 1998. "Transaction Costs and Asset Prices: A Dynamic Equilibrium Model," Review of Financial Studies, Society for Financial Studies, vol. 11(1), pages 1-58.

Chapters

  1. Cynthia Balloch & Simeon Djankov & Juanita Gonzalez-Uribe & Dimitri Vayanos, 2020. "A restart procedure to deal with COVID-19," Vox eBook Chapters, in: Simeon Djankov & Ugo Panizza (ed.), COVID-19 in Developing Economies, edition 1, volume 1, chapter 1, pages 266-276, Centre for Economic Policy Research.
  2. Pierre-Olivier Gourinchas & Thomas Philippon & Dimitri Vayanos, 2016. "The Analytics of the Greek Crisis," NBER Chapters, in: NBER Macroeconomics Annual 2016, Volume 31, pages 1-81, National Bureau of Economic Research, Inc.
  3. Robin Greenwood & Samuel G. Hanson & Dimitri Vayanos, 2016. "Forward Guidance in the Yield Curve: Short Rates versus Bond Supply," Central Banking, Analysis, and Economic Policies Book Series, in: Elías Albagli & Diego Saravia & Michael Woodford (ed.),Monetary Policy through Asset Markets: Lessons from Unconventional Measures and Implications for an Integrated World, edition 1, volume 24, chapter 2, pages 011-062, Central Bank of Chile.
  4. Vayanos, Dimitri & Wang, Jiang, 2013. "Market Liquidity—Theory and Empirical Evidence ," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1289-1361, Elsevier.

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This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Works
  3. Number of Distinct Works, Weighted by Simple Impact Factor
  4. Number of Distinct Works, Weighted by Recursive Impact Factor
  5. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  6. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  7. Number of Citations
  8. Number of Citations, Discounted by Citation Age
  9. Number of Citations, Weighted by Simple Impact Factor
  10. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  11. Number of Citations, Weighted by Recursive Impact Factor
  12. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  13. Number of Citations, Weighted by Number of Authors
  14. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  15. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  16. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  17. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  18. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  19. h-index
  20. Number of Registered Citing Authors
  21. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  22. Number of Journal Pages
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  24. Number of Journal Pages, Weighted by Recursive Impact Factor
  25. Number of Journal Pages, Weighted by Number of Authors
  26. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  27. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  28. Number of Abstract Views in RePEc Services over the past 12 months
  29. Number of Downloads through RePEc Services over the past 12 months
  30. Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
  31. Euclidian citation score
  32. Closeness measure in co-authorship network
  33. Wu-Index
  34. Record of graduates

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 49 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MAC: Macroeconomics (10) 2009-11-27 2013-04-06 2013-04-13 2016-01-03 2016-03-29 2016-06-25 2016-07-09 2016-10-09 2018-04-30 2022-05-16. Author is listed
  2. NEP-OPM: Open Economy Macroeconomics (9) 2016-02-04 2016-03-29 2016-05-14 2016-06-18 2016-06-25 2016-07-09 2016-08-14 2018-05-14 2022-05-16. Author is listed
  3. NEP-MON: Monetary Economics (7) 2009-11-14 2009-11-27 2011-08-09 2015-12-28 2016-01-03 2020-09-21 2022-05-16. Author is listed
  4. NEP-FMK: Financial Markets (5) 2004-02-29 2008-02-16 2008-04-12 2013-04-06 2015-12-28. Author is listed
  5. NEP-MST: Market Microstructure (4) 2006-11-18 2006-12-09 2015-06-05 2020-10-19
  6. NEP-RMG: Risk Management (4) 2008-12-14 2014-03-01 2014-06-02 2021-02-22
  7. NEP-CTA: Contract Theory & Applications (3) 2009-08-16 2012-08-23 2014-12-03
  8. NEP-CWA: Central & Western Asia (3) 2021-02-01 2021-02-22 2021-04-26
  9. NEP-DGE: Dynamic General Equilibrium (3) 2012-11-11 2018-01-22 2021-02-22
  10. NEP-EEC: European Economics (3) 2016-02-04 2016-06-25 2016-09-25
  11. NEP-UPT: Utility Models & Prospect Theory (3) 2014-06-02 2015-02-05 2021-02-22
  12. NEP-BAN: Banking (2) 2016-02-04 2023-02-13
  13. NEP-CBA: Central Banking (2) 2010-03-28 2022-05-16
  14. NEP-MIC: Microeconomics (2) 2009-08-16 2015-06-05
  15. NEP-NET: Network Economics (2) 2016-06-25 2016-06-25
  16. NEP-BEC: Business Economics (1) 2008-04-12
  17. NEP-CFN: Corporate Finance (1) 2015-06-05
  18. NEP-CMP: Computational Economics (1) 2016-10-09
  19. NEP-FDG: Financial Development & Growth (1) 2023-02-13
  20. NEP-GER: German Papers (1) 2016-07-16
  21. NEP-HIS: Business, Economic & Financial History (1) 2018-05-14
  22. NEP-IFN: International Finance (1) 2022-05-16
  23. NEP-MFD: Microfinance (1) 2015-03-05
  24. NEP-ORE: Operations Research (1) 2021-02-22
  25. NEP-PKE: Post Keynesian Economics (1) 2016-05-08

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