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Dynamic Adverse Selection: A Theory of Illiquidity, Fire Sales, and Flight to Quality

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Cited by:

  1. Schürhoff, Norman & Hendershott, Terrence & Livdan, Dmitry & Li, Dan, 2017. "Relationship Trading in OTC Markets," CEPR Discussion Papers 12472, C.E.P.R. Discussion Papers.
  2. Veronica Guerrieri & Robert Shimer, 2018. "Markets with Multidimensional Private Information," American Economic Journal: Microeconomics, American Economic Association, vol. 10(2), pages 250-274, May.
  3. Shi, Shouyong, 2016. "Customer relationship and sales," Journal of Economic Theory, Elsevier, vol. 166(C), pages 483-516.
  4. Salomón García, 2022. "Mortgage securitization and information frictions in general equilibrium," Working Papers 2221, Banco de España.
  5. Taneli Mäkinen & Francesco Palazzo, 2017. "The double bind of asymmetric information in over-the-counter markets," Temi di discussione (Economic working papers) 1128, Bank of Italy, Economic Research and International Relations Area.
  6. Alex Citanna & Paolo Siconolfi, 2022. "An incentive efficient market for mechanisms in large Akerlof economies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 73(1), pages 1-54, February.
  7. Sebastian Edwards & Francis A. Longstaff & Alvaro Garcia Marin, 2015. "The U.S. Debt Restructuring of 1933: Consequences and Lessons," NBER Working Papers 21694, National Bureau of Economic Research, Inc.
  8. Pablo Ottonello, 2015. "Capital Unemployment, Financial Shocks, and Investment Slumps," 2015 Meeting Papers 1153, Society for Economic Dynamics.
  9. Schneider, Mark & Stephenson, Daniel Graydon, 2021. "Bargains, price signaling, and efficiency in markets with asymmetric information," Games and Economic Behavior, Elsevier, vol. 128(C), pages 160-181.
  10. Seyed Mohammadreza Davoodalhosseini, 2020. "Adverse Selection With Heterogeneously Informed Agents," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 61(3), pages 1307-1358, August.
  11. Wei Cui & Sören Radde, 2020. "Search-based Endogenous Asset Liquidity and the Macroeconomy [Why Don’t US Issuers Demand European Fees for IPOs?]," Journal of the European Economic Association, European Economic Association, vol. 18(5), pages 2221-2269.
  12. Benjamin Lester & Guillaume Rocheteau & Pierre‐Olivier Weill, 2015. "Competing for Order Flow in OTC Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(S2), pages 77-126, June.
  13. Zhou, Jing, 2022. "Collateral quality and house prices," Journal of Economic Dynamics and Control, Elsevier, vol. 145(C).
  14. Zhifeng Cai & Feng Dong, 2021. "A Model of Secular Migration from Centralized to Decentralized Trade," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 72(1), pages 201-244, July.
  15. David M. Arseneau & David E. Rappoport & Alexandros Vardoulakis, 2015. "Secondary Market Liquidity and the Optimal Capital Structure," Finance and Economics Discussion Series 2015-31, Board of Governors of the Federal Reserve System (U.S.).
  16. Christophe Pérignon & David Thesmar & Guillaume Vuillemey, 2018. "Wholesale Funding Dry‐Ups," Journal of Finance, American Finance Association, vol. 73(2), pages 575-617, April.
  17. William Fuchs & Andrzej Skrzypacz, 2019. "Costs and benefits of dynamic trading in a lemons market," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 105-127, July.
  18. Richard Lowery & Tim Landvoigt, 2016. "Financial Industry Dynamics," 2016 Meeting Papers 1248, Society for Economic Dynamics.
  19. Wang, Zijian, 2020. "Liquidity and private information in asset markets: To signal or not to signal," Journal of Economic Theory, Elsevier, vol. 190(C).
  20. Pablo Kurlat & Florian Scheuer, 2021. "Signalling to Experts," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 88(2), pages 800-850.
  21. Spiros Bougheas & Adam Hal Spencer, 2022. "Fire Sales and Ex Ante Valuation of Systemic Risk: A Financial Equilibrium Networks Approach," CESifo Working Paper Series 10111, CESifo.
  22. Mariya Gubareva & Maria Rosa Borges, 2016. "Typology for flight-to-quality episodes and downside risk measurement," Applied Economics, Taylor & Francis Journals, vol. 48(10), pages 835-853, February.
  23. Camargo, Braz & Lester, Benjamin, 2014. "Trading dynamics in decentralized markets with adverse selection," Journal of Economic Theory, Elsevier, vol. 153(C), pages 534-568.
  24. Mr. Ehsan Ebrahimy, 2019. "Fire Sales in Frozen Markets," IMF Working Papers 2019/092, International Monetary Fund.
  25. Zachary Bethune & Bruno Sultanum & Nicholas Trachter, 2022. "An Information-based Theory of Financial Intermediation [Trade Dynamics in the Market for Federal Funds]," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(5), pages 2381-2444.
  26. Li, Qi, 2022. "Security design without verifiable retention," Journal of Economic Theory, Elsevier, vol. 200(C).
  27. Davoodalhosseini, Seyed Mohammadreza, 2022. "Optimal taxation in asset markets with adverse selection," European Economic Review, Elsevier, vol. 147(C).
  28. Yiting Li & Guillaume Rocheteau & Pierre-Olivier Weill, 2012. "Liquidity and the Threat of Fraudulent Assets," Journal of Political Economy, University of Chicago Press, vol. 120(5), pages 000.
  29. Asriyan, Vladimir & Fuchs, William & Green, Brett, 2021. "Aggregation and design of information in asset markets with adverse selection," Journal of Economic Theory, Elsevier, vol. 191(C).
  30. Marco Bassetto & Wei Cui, 2020. "A Ramsey Theory of Financial Distortions," Working Papers 775, Federal Reserve Bank of Minneapolis.
  31. Berentsen, Aleksander & McBride, Michael & Rocheteau, Guillaume, 2017. "Limelight on dark markets: Theory and experimental evidence on liquidity and information," Journal of Economic Dynamics and Control, Elsevier, vol. 75(C), pages 70-90.
  32. Dosis, Anastasios, 2018. "On signalling and screening in markets with asymmetric information," Journal of Mathematical Economics, Elsevier, vol. 75(C), pages 140-149.
  33. Hwang, Ilwoo, 2018. "Dynamic trading with developing adverse selection," Journal of Economic Theory, Elsevier, vol. 176(C), pages 761-802.
  34. Madison, Florian, 2019. "Frictional asset reallocation under adverse selection," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 115-130.
  35. Sergei Kovbasyuk & Giancarlo Spagnolo, 2016. "Memory and Markets," EIEF Working Papers Series 1606, Einaudi Institute for Economics and Finance (EIEF), revised Oct 2017.
  36. Kim, Jinhwan & Valentine, Kristen, 2023. "Public firm disclosures and the market for innovation," Journal of Accounting and Economics, Elsevier, vol. 76(1).
  37. Bo Becker & Marieke Bos & Kasper Roszbach, 2020. "Bad Times, Good Credit," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(S1), pages 107-142, October.
  38. Robert Shimer & Ivan Werning, 2019. "Efficiency and information transmission in bilateral trading," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 154-176, July.
  39. Yu (Sonja) Chen & Matthew Doyle & Francisco M. Gonzalez, "undated". "Mismatch as choice," Working Papers 2017-04, Department of Economics, University of Calgary, revised 15 May 2017.
    • Francisco M. Gonzalez & Yu Chen & Matthew Doyle, 2017. "Mismatch As Choice," Working Papers 1702, University of Waterloo, Department of Economics, revised May 2017.
  40. Saki Bigio & Liyan Shi, 2020. "Repurchase Options in the Market for Lemons," Working Papers 169, Peruvian Economic Association.
  41. Lam, Wing Tung, 2020. "Inefficient sorting under output sharing," Journal of Economic Theory, Elsevier, vol. 187(C).
  42. Pierre-Olivier Weill, 2020. "The search theory of OTC markets," NBER Working Papers 27354, National Bureau of Economic Research, Inc.
  43. Feng Dong & Jianjun Miao & Pengfei Wang, 2018. "The perils of credit booms," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 66(4), pages 819-861, December.
  44. Kim, Kyungmin, 2017. "Information about sellers' past behavior in the market for lemons," Journal of Economic Theory, Elsevier, vol. 169(C), pages 365-399.
  45. Fuchs, William & Green, Brett & Papanikolaou, Dimitris, 2016. "Adverse selection, slow-moving capital, and misallocation," Journal of Financial Economics, Elsevier, vol. 120(2), pages 286-308.
  46. Benhabib, Jess & Dong, Feng & Wang, Pengfei, 2018. "Adverse selection and self-fulfilling business cycles," Journal of Monetary Economics, Elsevier, vol. 94(C), pages 114-130.
  47. Vincent Maurin, 2022. "Liquidity Fluctuations in Over‐the‐Counter Markets," Journal of Finance, American Finance Association, vol. 77(2), pages 1325-1369, April.
  48. Alvarez, Fernando & Barlevy, Gadi, 2021. "Mandatory disclosure and financial contagion," Journal of Economic Theory, Elsevier, vol. 194(C).
  49. Liu, Xufeng & Wan, Die, 2022. "Asymmetric positive feedback trading and stock pricing in China," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
  50. Jun Aoyagi & Daisuke Adachi, 2018. "Economic Implications of Blockchain Platforms," Papers 1802.10117, arXiv.org, revised Oct 2018.
  51. Andrew G. Atkeson & Andrea L. Eisfeldt & Pierre‐Olivier Weill, 2015. "Entry and Exit in OTC Derivatives Markets," Econometrica, Econometric Society, vol. 83, pages 2231-2292, November.
  52. Yu Chen & Matthew Doyle & Francisco Gonzalez, 2019. "Bad Jobs," Working Papers 1902, University of Waterloo, Department of Economics, revised Jan 2019.
  53. Michael J. Fishman & Jonathan A. Parker, 2015. "Valuation, Adverse Selection, and Market Collapses," The Review of Financial Studies, Society for Financial Studies, vol. 28(9), pages 2575-2607.
  54. Gabrovski, Miroslav & Kospentaris, Ioannis, 2021. "Intermediation in over-the-counter markets with price transparency," Journal of Economic Theory, Elsevier, vol. 198(C).
  55. Yadav, Jayant, 2020. "Flight to Safety in Business cycles," MPRA Paper 104093, University Library of Munich, Germany.
  56. Lester, Benjamin & Shourideh, Ali & Venkateswaran, Venky & Zetlin-Jones, Ariel, 2023. "Market-making with search and information frictions," Journal of Economic Theory, Elsevier, vol. 212(C).
  57. Kakhbod, Ali & Song, Fei, 2020. "Dynamic price discovery: Transparency vs. information design," Games and Economic Behavior, Elsevier, vol. 122(C), pages 203-232.
  58. Palazzo, Francesco, 2017. "Search costs and the severity of adverse selection," Research in Economics, Elsevier, vol. 71(1), pages 171-197.
  59. Antonio Rodriguez‐Lopez, 2021. "Liquidity and the International Allocation of Economic Activity," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 62(2), pages 789-830, May.
  60. Gary Biglaiser & Fei Li & Charles Murry & Yiyi Zhou, 2020. "Intermediaries and product quality in used car markets," RAND Journal of Economics, RAND Corporation, vol. 51(3), pages 905-933, September.
  61. Wang, Zijian, 2019. "Trading Motives in Asset Markets," MPRA Paper 91401, University Library of Munich, Germany.
  62. Helen Hui Huang & Yanjie Wang & Shunming Zhang, 2023. "Asset allocation, limited participation and flight‐to‐quality under ambiguity of correlation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4604-4626, October.
  63. Halket, Jonathan R & Pignatti, Matteo, 2012. "Housing tenure choices with private information," Economics Discussion Papers 8961, University of Essex, Department of Economics.
  64. S. Mohammad R. Davoodalhosseini, 2014. "Constrained Efficiency with Search and Information Frictions," 2014 Papers pda658, Job Market Papers.
  65. Stephens, Eric & Thompson, James R., 2017. "Information asymmetry and risk transfer markets," Journal of Financial Intermediation, Elsevier, vol. 32(C), pages 88-99.
  66. Zhang, Shengxing, 2018. "Liquidity misallocation in an over-the-counter market," Journal of Economic Theory, Elsevier, vol. 174(C), pages 16-56.
  67. Anton Tsoy, 2016. "Liquidity and Prices in Decentralized Markets with Almost Public Information," 2016 Meeting Papers 8, Society for Economic Dynamics.
  68. Davoodalhosseini, Seyed Mohammadreza, 2019. "Constrained efficiency with adverse selection and directed search," Journal of Economic Theory, Elsevier, vol. 183(C), pages 568-593.
  69. Asano, Koji, 2018. "Ignorant Experts and Financial Fragility," MPRA Paper 90830, University Library of Munich, Germany.
  70. Ordoñez, Guillermo & Perez-Reyna, David & Yogo, Motohiro, 2019. "Leverage dynamics and credit quality," Journal of Economic Theory, Elsevier, vol. 183(C), pages 183-212.
  71. Ehrenfried, Felix & Holzner, Christian, 2019. "Dynamics and endogeneity of firms’ recruitment behaviour," Labour Economics, Elsevier, vol. 57(C), pages 63-84.
  72. Wan, Xiaoyuan, 2020. "The impact of short-selling and margin-buying on liquidity: Evidence from the Chinese stock market," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 104-118.
  73. Martel, Jordan, 2018. "Quality, price, and time-on-market," Economics Letters, Elsevier, vol. 171(C), pages 97-101.
  74. Choi, Michael, 2018. "Imperfect information transmission and adverse selection in asset markets," Journal of Economic Theory, Elsevier, vol. 176(C), pages 619-649.
  75. Elton Dusha & Alexandre Janiak, 2018. "On the dynamics of asset prices and liquidity: the role of search frictions and idiosyncratic shocks," 2018 Meeting Papers 524, Society for Economic Dynamics.
  76. Juan Carlos Hatchondo & Per Krusell & Martin Schneider, 2014. "Asset Trading and Valuation with Uncertain Exposure," Working Paper 14-5, Federal Reserve Bank of Richmond.
  77. Ayça Kaya & Kyungmin Kim, 2018. "Trading Dynamics with Private Buyer Signals in the Market for Lemons," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(4), pages 2318-2352.
  78. Matt Darst & Ehraz Refayet, 2019. "Mixed Signals: Investment Distortions with Adverse Selection," Finance and Economics Discussion Series 2019-044, Board of Governors of the Federal Reserve System (U.S.).
  79. Barsanetti, Bruno & Camargo, Braz, 2022. "Signaling in dynamic markets with adverse selection," Journal of Economic Theory, Elsevier, vol. 206(C).
  80. Rocheteau, Guillaume & Rodriguez-Lopez, Antonio, 2014. "Liquidity provision, interest rates, and unemployment," Journal of Monetary Economics, Elsevier, vol. 65(C), pages 80-101.
  81. Chen, Yu & Doyle, Matthew & Gonzalez, Francisco M., 2024. "Wages as signals of worker mobility," Theoretical Economics, Econometric Society, vol. 19(1), January.
  82. Pavan, Alessandro & Vives, Xavier, 2015. "Information, Coordination, and Market Frictions: An Introduction," Journal of Economic Theory, Elsevier, vol. 158(PB), pages 407-426.
  83. Haoxiang Zhu, 2014. "Do Dark Pools Harm Price Discovery?," The Review of Financial Studies, Society for Financial Studies, vol. 27(3), pages 747-789.
  84. Fukui, Masao, 2018. "Asset Quality Cycles," Journal of Monetary Economics, Elsevier, vol. 95(C), pages 97-108.
  85. Vincent Maurin, 2016. "Liquidity Fluctuations in Over the Counter Markets," 2016 Meeting Papers 218, Society for Economic Dynamics.
  86. Marco Bassetto & Luca Benzoni & Trevor Serrao, 2016. "The Interplay Between Financial Conditions and Monetary Policy Shocks," Working Paper Series WP-2016-11, Federal Reserve Bank of Chicago.
  87. Bental, Benjamin & Demougin, Dominique, 2016. "Privatizing profits and socializing losses with smoothly operating capital markets," European Journal of Political Economy, Elsevier, vol. 44(C), pages 179-194.
  88. Huang, Qiubin & de Haan, Jakob & Scholtens, Bert, 2020. "Does bank capitalization matter for bank stock returns?," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
  89. Halket, Jonathan & Pignatti Morano di Custoza, Matteo, 2015. "Homeownership and the scarcity of rentals," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 107-123.
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