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Citations for "Liquidity in asset markets with search frictions"

by Guillaume Rocheteau & Ricardo Lagos

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  1. Rocheteau, Guillaume & Wright, Randall, 2013. "Liquidity and asset-market dynamics," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 275-294.
  2. Veronica Guerrieri & Robert Shimer, 2012. "Dynamic Adverse Selection: A Theory of Illiquidity, Fire Sales, and Flight to Quality," NBER Working Papers 17876, National Bureau of Economic Research, Inc.
  3. Zhang, Cathy, 2014. "An information-based theory of international currency," Journal of International Economics, Elsevier, vol. 93(2), pages 286-301.
  4. Biais, Bruno & Hombert, Johan & Weill, Pierre-Olivier, 2010. "Trading and Liquidity with Limited Cognition," IDEI Working Papers 665, Institut d'Économie Industrielle (IDEI), Toulouse.
  5. Benjamin Falkeborg, 2015. "Dealing with Dynamic Agency," Discussion Papers 15-04, University of Copenhagen. Department of Economics.
  6. Feng Dong & Pengfei Wang & Yi Wen, 2016. "Credit search and credit cycles," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 61(2), pages 215-239, February.
  7. Nosal, Ed & Wong, Yuet-Yee & Wright, Randall, 2014. "More on Middlemen: Equilibrium Entry and Efficiency in Intermediated Markets," Working Paper Series WP-2014-18, Federal Reserve Bank of Chicago.
  8. Segura, Anatoli & Suarez, Javier, 2016. "How Excessive Is Banks' Maturity Transformation?," CEPR Discussion Papers 11111, C.E.P.R. Discussion Papers.
  9. Lucas Herrenbrueck, 2014. "Quantitative Easing and the Liquidity Channel of Monetary Policy," Discussion Papers dp14-09, Department of Economics, Simon Fraser University, revised Apr 2016.
  10. Selcuk, Cemil, 2012. "Distressed sales and liquidity in OTC markets," MPRA Paper 38188, University Library of Munich, Germany.
  11. Williamson, Stephen D. & Wright, Randall, 2010. "New Monetarist Economics: Methods," MPRA Paper 21486, University Library of Munich, Germany.
  12. Rocheteau, Guillaume, 2011. "Payments and liquidity under adverse selection," Journal of Monetary Economics, Elsevier, vol. 58(3), pages 191-205.
  13. Kurmann, André & Rabinovich, Stanislav, 2016. "Dynamic Inefficiency in Decentralized Capital Markets," School of Economics Working Paper Series 2016-1, LeBow College of Business, Drexel University.
  14. Hedlund, Aaron, 2016. "Illiquidity and its discontents: Trading delays and foreclosures in the housing market," Journal of Monetary Economics, Elsevier, vol. 83(C), pages 1-13.
  15. Ricardo Lagos & Guillaume Rocheteau & Pierre-Olivier Weill, 2009. "Crises and Liquidity in Over-the-Counter Markets," NBER Working Papers 15414, National Bureau of Economic Research, Inc.
  16. Gara Minguez Afonso, 2008. "Liquidity and Congestion," 2008 Meeting Papers 926, Society for Economic Dynamics.
  17. Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity - Theory and Empirical Evidence," FMG Discussion Papers dp709, Financial Markets Group.
  18. Gara Afonso & Ricardo Lagos, 2014. "Trade Dynamics in the Market for Federal Funds," NBER Working Papers 20419, National Bureau of Economic Research, Inc.
  19. Mikhail Golosov & Aleh Tsyvinski & Guido Lorenzoni, 2008. "Decentralized trading with private information," 2008 Meeting Papers 391, Society for Economic Dynamics.
  20. Pavan, Alessandro & Vives, Xavier, 2015. "Information, Coordination, and Market Frictions: An Introduction," Journal of Economic Theory, Elsevier, vol. 158(PB), pages 407-426.
  21. Julien Hugonnier & Benjamin Lester & Pierre-Olivier Weill, 2014. "Heterogeneity in Decentralized Asset Markets," NBER Working Papers 20746, National Bureau of Economic Research, Inc.
  22. Ben Lester & Braz Camargo, 2010. "Trading Dynamics in Decentralized Markets with Adverse Selection," 2010 Meeting Papers 488, Society for Economic Dynamics.
  23. 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.
  24. 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.
  25. Lucas Herrenbrueck, 2016. "Quantitative Easing and the Liquidity Channel of Monetary Policy," 2016 Meeting Papers 767, Society for Economic Dynamics.
  26. Alisdair McKay, 2013. "Search for Financial Returns and Social Security Privatization," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 16(2), pages 253-270, April.
  27. Biais, Bruno & Weill, Pierre-Olivier, 2009. "Liquidity Shocks and Order Book Dynamics," TSE Working Papers 09-037, Toulouse School of Economics (TSE).
  28. Ricardo Lagos, 2008. "The Research Agenda: Ricardo Lagos on Liquidity and the Search Theory of Money," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 10(1), November.
  29. Shengxing Zhang, 2014. "Collateral Risk, Repo Rollover and Shadow Banking," 2014 Meeting Papers 562, Society for Economic Dynamics.
  30. Ricardo Lagos, 2005. "Asset Prices and Liquidity in an Exchange Economy," 2005 Meeting Papers 143, Society for Economic Dynamics.
  31. Briana Chang & Shengxing Zhang, 2015. "Endogenous Market Making and Network Formation," Discussion Papers 1534, Centre for Macroeconomics (CFM).
  32. Ricardo Lagos & Guillaume Rocheteau, 2008. "Liquidity in asset markets with search frictions," Staff Report 408, Federal Reserve Bank of Minneapolis.
  33. Geromichalos, Athanasios & Herrenbrueck, Lucas, 2016. "The Strategic Determination of the Supply of Liquid Assets," MPRA Paper 71454, University Library of Munich, Germany.
  34. Yuan Yuan, 2014. "Funding Liquidity and Market Liquidity," DETU Working Papers 1406, Department of Economics, Temple University.
  35. Sultanum, Bruno, 2016. "Financial Fragility and Over-the-Counter Markets," Working Paper 16-4, Federal Reserve Bank of Richmond.
  36. Kiyotaki, Nobuhiro & Lagos, Ricardo & Wright, Randall, 2016. "Introduction to the symposium issue on money and liquidity," Journal of Economic Theory, Elsevier, vol. 164(C), pages 1-9.
  37. Marc de Kamps & Daniel Ladley & Aistis Simaitis, 2012. "Heterogeneous Beliefs in Over-The-Counter Markets," Discussion Papers in Economics 13/03, Department of Economics, University of Leicester, revised Sep 2013.
  38. Guillaume Rocheteau & Pierre-Olivier Weill, 2011. "Liquidity in frictional asset markets," Working Paper 1105, Federal Reserve Bank of Cleveland.
  39. Jean-Sébastien Fontaine & Héctor Pérez Saiz & Joshua Slive, 2012. "When Lower Risk Increases Profit: Competition and Control of a Central Counterparty," Staff Working Papers 12-35, Bank of Canada.
  40. Zhong, Zhuo, 2016. "Reducing opacity in over-the-counter markets," Journal of Financial Markets, Elsevier, vol. 27(C), pages 1-27.
  41. Cecilia Parlatore Siritto, 2012. "Equilibrium Collateral Constraints," 2012 Meeting Papers 492, Society for Economic Dynamics.
  42. Guillaume Rocheteau & Jose Antonio Rodriguez-Lopez, 2013. "Liquidity Provision, Interest Rates, and Unemployment," Working Papers 121311, University of California-Irvine, Department of Economics.
  43. Mattesini, Fabrizio & Nosal, Ed, 2016. "Liquidity and asset prices in a monetary model with OTC asset markets," Journal of Economic Theory, Elsevier, vol. 164(C), pages 187-217.
  44. Yong Kim, 2009. "Capital Reallocation and Liquidity with Search Frictions," 2009 Meeting Papers 72, Society for Economic Dynamics.
  45. Luigi Iovino, 2014. "Sophisticated Intermediation and Aggregate Volatility," 2014 Meeting Papers 1044, Society for Economic Dynamics.
  46. Semih Uslu, 2016. "Pricing and Liquidity in Decentralized Asset Markets," 2016 Meeting Papers 128, Society for Economic Dynamics.
  47. Jonathan Chiu & Cyril Monnet, 2016. "Relationships in the Interbank Market," Staff Working Papers 16-33, Bank of Canada.
  48. Sun, Yeneng & Zhang, Yongchao, 2009. "Individual risk and Lebesgue extension without aggregate uncertainty," Journal of Economic Theory, Elsevier, vol. 144(1), pages 432-443, January.
  49. Duffie, Darrell & Malamud, Semyon & Manso, Gustavo, 2010. "The relative contributions of private information sharing and public information releases to information aggregation," Journal of Economic Theory, Elsevier, vol. 145(4), pages 1574-1601, July.
  50. Mouhua Liao, . "Periodic, Complete-participation Trade in the Lagos-Rocheteau Model," WISE Working Papers 2014-08-06, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  51. Darrell Duffie & Lei Qiao & Yeneng Sun, 2015. "Dynamic Directed Random Matching," NBER Working Papers 21731, National Bureau of Economic Research, Inc.
  52. Briana Chang, 2012. "Adverse Selection and Liquidity Distortion in Decentralized Markets," 2012 Meeting Papers 403, Society for Economic Dynamics.
  53. Athanasios Geromichalos & Lucas Herrenbrueck, 2012. "Monetary Policy, Asset Prices, and Liquidity in Over-the-Counter Markets," Working Papers 1220, University of California, Davis, Department of Economics.
  54. Randall Wright & Cathy Zhang & Guillaume Rocheteau, 2016. "Corporate Finance and Monetary Policy," 2016 Meeting Papers 97, Society for Economic Dynamics.
  55. Shengxing Zhang, 2012. "Liquidity Misallocation in an Over-The-Counter Market," 2012 Meeting Papers 529, Society for Economic Dynamics.
  56. André Kurmann, 2009. "Holdups and Overinvestment in Physical Capital Markets," Cahiers de recherche 0904, CIRPEE.
  57. Briana Chang & Shengxing Zhang, 2015. "Endogenous market making and network formation," LSE Research Online Documents on Economics 65105, London School of Economics and Political Science, LSE Library.
  58. Han, Han, 2015. "Over-the-Counter Markets, Intermediation, and Monetary Policy," MPRA Paper 68709, University Library of Munich, Germany.
  59. Patrick Bolton & Tano Santos & Jose A. Scheinkman, 2011. "Cream Skimming in Financial Markets," NBER Working Papers 16804, National Bureau of Economic Research, Inc.
  60. Berentsen, Aleksander & Huber, Samuel & Marchesiani, Alessandro, 2016. "The societal benefit of a financial transaction tax," European Economic Review, Elsevier, vol. 89(C), pages 303-323.
  61. John A. Weinberg & Huberto M. Ennis, 2009. "A Model of Stigma in the Fed Funds Market," 2009 Meeting Papers 956, Society for Economic Dynamics.
  62. Athanasios, Geromichalos & Kuk Mo, Jung, 2016. "Monetary Policy and Efficiency in Over-the-Counter Financial Trade," MPRA Paper 71455, University Library of Munich, Germany.
  63. Dugast, J., 2013. "Limited attention and news arrival in limit order markets," Working papers 449, Banque de France.
  64. Branch, William A., 2016. "Imperfect knowledge, liquidity and bubbles," Journal of Economic Dynamics and Control, Elsevier, vol. 62(C), pages 17-42.
  65. Zhiguo He & Konstantin Milbradt, 2012. "Endogenous Liquidity and Defaultable Bonds," NBER Working Papers 18408, National Bureau of Economic Research, Inc.
  66. Briana Chang, 2011. "Adverse Selection and Liquidity Distortion in Decentralized Markets," 2011 Meeting Papers 157, Society for Economic Dynamics.
  67. Robert Shimer & Gregor Jarosch & Maryam Farboodi, 2016. "Meeting Technologies in Decentralized Asset Markets," 2016 Meeting Papers 844, Society for Economic Dynamics.
  68. Shengxing Zhang & Briana Chang, 2015. "Endogenous Market-making and Formation of Trading Links," 2015 Meeting Papers 1227, Society for Economic Dynamics.
  69. Aleksander Berentsen & Michael McBride & Guillaume Rocheteau, 2013. "Limelight on dark markets: theory and experimental evidence on liquidity and information," ECON - Working Papers 126, Department of Economics - University of Zurich, revised Apr 2015.
  70. Afonso, Gara, 2011. "Liquidity and congestion," Journal of Financial Intermediation, Elsevier, vol. 20(3), pages 324-360, July.
  71. Batchimeg Sambalaibat & Artem Neklyudov, 2016. "Endogenous Specialization and Dealer Networks," 2016 Meeting Papers 1041, Society for Economic Dynamics.
  72. 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.
  73. 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.
  74. Aaron Hedlund, 2014. "Illiquidity and its Discontents: Trading Delays and Foreclosures in the Housing Market," Working Papers 1417, Department of Economics, University of Missouri.
  75. Ederington, Louis & Guan, Wei & Yadav, Pradeep K., 2015. "Dealer spreads in the corporate bond market: Agent vs. market-making roles," CFR Working Papers 15-11, University of Cologne, Centre for Financial Research (CFR).
  76. Luigi Iovino, 2012. "Sophisticated Intermediation and Aggregate Volatility," 2012 Meeting Papers 965, Society for Economic Dynamics.
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