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Citations for "Liquidity premia in dynamic bargaining markets"

by Weill, Pierre-Olivier

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  1. repec:bbz:fcpbbr:v:8:y:2011:i:3:p:40-63 is not listed on IDEAS
  2. Huberto M. Ennis & John A. Weinberg, 2007. "Interest on reserves and daylight credit," Economic Quarterly, Federal Reserve Bank of Richmond, issue Spr, pages 111-142.
  3. Gârleanu, Nicolae, 2009. "Portfolio choice and pricing in illiquid markets," Journal of Economic Theory, Elsevier, vol. 144(2), pages 532-564, March.
  4. Alessandro Gavazza, 2011. "The Role of Trading Frictions in Real Asset Markets," American Economic Review, American Economic Association, vol. 101(4), pages 1106-43, June.
  5. Biais, Bruno & Weill, Pierre-Olivier, 2009. "Liquidity Shocks and Order Book Dynamics," IDEI Working Papers 550, Institut d'Économie Industrielle (IDEI), Toulouse.
  6. Darrell Duffie, 2012. "Over-The-Counter Markets," Introductory Chapters, in: Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets Princeton University Press.
  7. Nosal, Ed & Waller, Christopher J. & Wright, Randall, 2011. "Introduction To The Macroeconomic Dynamics Special Issues On Money, Credit, And Liquidity," Macroeconomic Dynamics, Cambridge University Press, vol. 15(S1), pages 1-9, April.
  8. Isaenko, Sergey, 2015. "Equilibrium theory of stock market crashes," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 73-94.
  9. Afonso, Gara, 2011. "Liquidity and congestion," Journal of Financial Intermediation, Elsevier, vol. 20(3), pages 324-360, July.
  10. Darrell DUFFIE & Semyon MALAMUD & Gustavo MANSO, . "The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation," Swiss Finance Institute Research Paper Series 09-33, Swiss Finance Institute.
  11. Max Bruche & Anatoli Segura, 2013. "Debt Maturity And The Liquidity Of Secondary Debt Markets," Working Papers wp2013_1303, CEMFI.
  12. Semih Uslu, 2016. "Pricing and Liquidity in Decentralized Asset Markets," 2016 Meeting Papers 128, Society for Economic Dynamics.
  13. Hugonnier, Julien & Lester, Benjamin & Weill, Pierre-Olivier, 2015. "Heterogeneity in decentralized asset markets," Working Papers 15-22, Federal Reserve Bank of Philadelphia.
  14. Michael J. Barclay & Terrence Hendershott & Kenneth Kotz, 2006. "Automation versus Intermediation: Evidence from Treasuries Going Off the Run," Journal of Finance, American Finance Association, vol. 61(5), pages 2395-2414, October.
  15. Mikhail Golosov & Aleh Tsyvinski & Guido Lorenzoni, 2008. "Decentralized trading with private information," 2008 Meeting Papers 391, Society for Economic Dynamics.
  16. Ricardo Lagos & Guillaume Rocheteau, 2006. "Search in asset markets," Staff Report 375, Federal Reserve Bank of Minneapolis.
  17. Afonso, Gara M. & Lagos, Ricardo, 2014. "The Over-the-Counter Theory of the Fed Funds Market: A Primer," Working Papers 711, Federal Reserve Bank of Minneapolis.
  18. Jeremy Large, 2006. "A Market-Clearing Role for Inefficiency on a Limit Order Book," Economics Papers 2006-W08, Economics Group, Nuffield College, University of Oxford.
  19. Ricardo Lagos & Gara Afonso, 2010. "Trade Dynamics in the Market for Federal Funds," 2010 Meeting Papers 424, Society for Economic Dynamics.
  20. Benjamin Lester & Guillaume Rocheteau & Pierre-Olivier Weill, 2014. "Competing for Order Flow in OTC Markets," NBER Working Papers 20608, National Bureau of Economic Research, Inc.
  21. Branch, William A., 2016. "Imperfect knowledge, liquidity and bubbles," Journal of Economic Dynamics and Control, Elsevier, vol. 62(C), pages 17-42.
  22. Guillaume Rocheteau & Ed Nosal, 2008. "Pairwise Trade, Asset Prices and Monetary Policy," 2008 Meeting Papers 774, Society for Economic Dynamics.
  23. Darrell Duffie & Yeneng Sun, 2004. "The Exact Law of Large Numbers for Independent Random Matching," Levine's Bibliography 122247000000000328, UCLA Department of Economics.
  24. Dimitri Vayanos & Pierre-Olivier Weill, 2006. "A Search-Based Theory of the On-the-Run Phenomenon," NBER Working Papers 12670, National Bureau of Economic Research, Inc.
  25. Luigi Iovino, 2014. "Sophisticated Intermediation and Aggregate Volatility," 2014 Meeting Papers 1044, Society for Economic Dynamics.
  26. Zhuo Zhong & Kei Kawakami, 2016. "The Risk Sharing BenefiÂ…t versus the Collateral Cost: The Formation of the Inter-Dealer Network in Over-the-Counter Trading," 2016 Meeting Papers 822, Society for Economic Dynamics.
  27. Semyon Malamud & Marzena Rostek, 2012. "Decentralized Exchange," Working Papers 12-18, NET Institute.
  28. Ricardo Lagos, 2006. "Asset prices and liquidity in an exchange economy," Staff Report 373, Federal Reserve Bank of Minneapolis.
  29. Selcuk, Cemil, 2012. "Distressed sales and liquidity in OTC markets," MPRA Paper 38188, University Library of Munich, Germany.
  30. Zhang, Feng & Tian, Yao & Wirjanto, Tony S., 2009. "Empirical tests of the float-adjusted return model," Finance Research Letters, Elsevier, vol. 6(4), pages 219-229, December.
  31. Jianping Mei & Jose Scheinkman & Wei Xiong, 2005. "Speculative Trading and Stock Prices: An Analysis of Chinese A-B Share Premia," Levine's Bibliography 122247000000000867, UCLA Department of Economics.
  32. 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 - 000.
  33. Shen, Ji & Wei, Bin & Yan, Hongjun, 2016. "Financial Intermediation Chains in an OTC Market," MPRA Paper 74925, University Library of Munich, Germany.
  34. Stephen D. Williamson & Randall Wright, 2010. "New Monetarist Economics: models," Staff Report 443, Federal Reserve Bank of Minneapolis.
  35. Albuquerque, Rui & Schroth, Enrique, 2012. "The Value of Control and the Costs of Illiquidity," CEPR Discussion Papers 9090, C.E.P.R. Discussion Papers.
  36. Luigi Iovino, 2012. "Sophisticated Intermediation and Aggregate Volatility," 2012 Meeting Papers 965, Society for Economic Dynamics.
  37. Carolin E. Pflueger & Luis M. Viceira, 2011. "Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity," Harvard Business School Working Papers 11-094, Harvard Business School, revised Sep 2013.
  38. Shoko Morimoto, 2009. "Asset markets can achieve efficiency in the directed search framework," Discussion Papers in Economics and Business 09-33, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
  39. Wright, Randall & Trejos, Alberto, 2014. "Search-Based Models of Money and Finance: An Integrated Approach," Working Papers 709, Federal Reserve Bank of Minneapolis.
  40. Alain Belanger & Ndoune Ndoune, 2014. "Existence and Uniqueness of a Steady State for an OTC Market with Several Assets," Papers 1411.7991, arXiv.org, revised Mar 2016.
  41. Jacquet, Nicolas L. & Tan, Serene, 2012. "Money and asset prices with uninsurable risks," Journal of Monetary Economics, Elsevier, vol. 59(8), pages 784-797.
  42. Jianping Mei & Jose Scheinkman & Wei Xiong, 2005. "Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia," NBER Working Papers 11362, National Bureau of Economic Research, Inc.
  43. Batchimeg Sambalaibat & Artem Neklyudov, 2016. "Endogenous Specialization and Dealer Networks," 2016 Meeting Papers 1041, Society for Economic Dynamics.
  44. Dugast, J., 2013. "Limited attention and news arrival in limit order markets," Working papers 449, Banque de France.
  45. Briana Chang, 2011. "Adverse Selection and Liquidity Distortion in Decentralized Markets," 2011 Meeting Papers 157, Society for Economic Dynamics.
  46. Trejos, Alberto & Wright, Randall, 2016. "Search-based models of money and finance: An integrated approach," Journal of Economic Theory, Elsevier, vol. 164(C), pages 10-31.
  47. B. Ravikumar & Enchuan Shao, 2010. "Search Frictions and Asset Price Volatility," Staff Working Papers 10-1, Bank of Canada.
  48. Briana Chang, 2012. "Adverse Selection and Liquidity Distortion in Decentralized Markets," 2012 Meeting Papers 403, Society for Economic Dynamics.
  49. Afonso, Gara M. & Kovner, Anna & Schoar, Antoinette, 2013. "Trading partners in the interbank lending market," Staff Reports 620, Federal Reserve Bank of New York, revised 01 Oct 2014.
  50. Paul M Anglin & Yanmin Gao, 2011. "Integrating Illiquid Assets into the Portfolio Decision Process," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 39(2), pages 277-311, 06.
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