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Aggregate implications of micro asset market segmentation

  • Pierre-Olivier Weill

    (UCLA)

  • Chris Edmond

    (NYU Stern)

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

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Date of creation: 2008
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Handle: RePEc:red:sed008:481
Contact details of provider: Postal: Society for Economic Dynamics Christian Zimmermann Economic Research Federal Reserve Bank of St. Louis PO Box 442 St. Louis MO 63166-0442 USA
Fax: 1-314-444-8731
Web page: http://www.EconomicDynamics.org/society.htm
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