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Aggregate implications of micro asset market segmentation

Author

Listed:
  • 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.

Suggested Citation

  • Pierre-Olivier Weill & Chris Edmond, 2008. "Aggregate implications of micro asset market segmentation," 2008 Meeting Papers 481, Society for Economic Dynamics.
    • Handle: RePEc:red:sed008:481
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    Cited by:

    1. Fernando Alvarez & Francesco Lippi, 2014. "Persistent Liquidity Effects and Long-Run Money Demand," American Economic Journal: Macroeconomics, American Economic Association, vol. 6(2), pages 71-107, April.
    2. Edmond, Chris & Weill, Pierre-Olivier, 2012. "Aggregate implications of micro asset market segmentation," Journal of Monetary Economics, Elsevier, vol. 59(4), pages 319-335.
    3. Zhiguo He & Arvind Krishnamurthy, 2013. "Intermediary Asset Pricing," American Economic Review, American Economic Association, vol. 103(2), pages 732-770, April.
    4. Andrea L. Eisfeldt & Hanno Lustig & Lei Zhang, 2017. "Complex Asset Markets," NBER Working Papers 23476, National Bureau of Economic Research, Inc.
    5. Iraola, Miguel A. & Sepúlveda, Fabián & Torres-Martínez, Juan Pablo, 2019. "Financial segmentation and collateralized debt in infinite-horizon economies," Journal of Mathematical Economics, Elsevier, vol. 80(C), pages 56-69.

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    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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