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Citations for "Liquidity in asset markets with search frictions"

by Guillaume Rocheteau & Ricardo Lagos

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  1. Julien Hugonnier & Benjamin Lester & Pierre-Olivier Weill, 2014. "Heterogeneity in Decentralized Asset Markets," NBER Working Papers 20746, National Bureau of Economic Research, Inc.
  2. Sultanum, Bruno, 2016. "Financial Fragility and Over-the-Counter Markets," Working Paper 16-4, Federal Reserve Bank of Richmond.
  3. 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.
  4. Fuhrer, Lucas Marc & Müller, Benjamin & Steiner, Luzian, 2017. "The Liquidity Coverage Ratio and security prices," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 292-311.
  5. Jonathan Chiu & Cyril Monnet, 2016. "Relationships in the Interbank Market," Staff Working Papers 16-33, Bank of Canada.
  6. Lagos, Ricardo & Zhang, Shengxing, 2016. "Turnover Liquidity and the Transmission of Monetary Policy," Working Papers 734, Federal Reserve Bank of Minneapolis.
  7. Geromichalos, Athanasios & Herrenbrueck, Lucas, 2016. "The Strategic Determination of the Supply of Liquid Assets," MPRA Paper 71454, University Library of Munich, Germany.
  8. Zhang, Cathy, 2014. "An information-based theory of international currency," Journal of International Economics, Elsevier, vol. 93(2), pages 286-301.
  9. Gara M. Afonso & Ricardo Lagos, 2012. "Trade dynamics in the market for federal funds," Staff Reports 549, Federal Reserve Bank of New York.
  10. Biais, Bruno & Weill, Pierre-Olivier, 2009. "Liquidity Shocks and Order Book Dynamics," TSE Working Papers 09-037, Toulouse School of Economics (TSE).
  11. Darrell Duffie & Lei Qiao & Yeneng Sun, 2015. "Dynamic Directed Random Matching," NBER Working Papers 21731, National Bureau of Economic Research, Inc.
  12. Alisdair McKay, 2013. "Online Appendix to "Search for Financial Returns and Social Security Privatization"," Technical Appendices 12-80, Review of Economic Dynamics.
  13. Camargo, Braz & Lester, Benjamin, 2014. "Trading dynamics in decentralized markets with adverse selection," Journal of Economic Theory, Elsevier, vol. 153(C), pages 534-568.
  14. Luigi Iovino, 2014. "Sophisticated Intermediation and Aggregate Volatility," 2014 Meeting Papers 1044, Society for Economic Dynamics.
  15. Gara Minguez Afonso, 2008. "Liquidity and Congestion," 2008 Meeting Papers 926, Society for Economic Dynamics.
  16. 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.
  17. Lagos, Ricardo, 2010. "Asset prices and liquidity in an exchange economy," Journal of Monetary Economics, Elsevier, vol. 57(8), pages 913-930, November.
  18. Briana Chang & Shengxing Zhang, 2015. "Endogenous Market Making and Network Formation," Discussion Papers 1534, Centre for Macroeconomics (CFM).
  19. Dugast, J., 2013. "Limited attention and news arrival in limit order markets," Working papers 449, Banque de France.
  20. Biais, Bruno & Hombert, Johan & Weill, Pierre-Olivier, 2010. "Trading and Liquidity with Limited Cognition," TSE Working Papers 10-242, Toulouse School of Economics (TSE).
  21. 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.
  22. Stephen D. Williamson & Randall Wright, 2010. "New Monetarist Economics: methods," Staff Report 442, Federal Reserve Bank of Minneapolis.
  23. Aleksander Berentsen & Samuel Huber & Alessandro Marchesiani, 2014. "The societal benefit of a financial transaction tax," ECON - Working Papers 176, Department of Economics - University of Zurich, revised May 2015.
  24. 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, 06.
  25. Lagos, Ricardo & Rocheteau, Guillaume & Weill, Pierre-Olivier, 2011. "Crises and liquidity in over-the-counter markets," Journal of Economic Theory, Elsevier, vol. 146(6), pages 2169-2205.
  26. Uslu, Semih, 2015. "Pricing and Liquidity in Decentralized Asset Markets," MPRA Paper 73901, University Library of Munich, Germany, revised 21 Sep 2016.
  27. Mikhail Golosov & Guido Lorenzoni & Aleh Tsyvinski, 2014. "Decentralized Trading With Private Information," Econometrica, Econometric Society, vol. 82(3), pages 1055-1091, 05.
  28. Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity -- Theory and Empirical Evidence," NBER Working Papers 18251, National Bureau of Economic Research, Inc.
  29. Segura, Anatoli & Suarez, Javier, 2016. "How Excessive Is Banks' Maturity Transformation?," CEPR Discussion Papers 11111, C.E.P.R. Discussion Papers.
  30. Veronica Guerrieri & Robert Shimer, 2014. "Dynamic Adverse Selection: A Theory of Illiquidity, Fire Sales, and Flight to Quality," American Economic Review, American Economic Association, vol. 104(7), pages 1875-1908, July.
  31. 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.
  32. Yuan Yuan, 2014. "Funding Liquidity and Market Liquidity," DETU Working Papers 1406, Department of Economics, Temple University.
  33. 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.
  34. Herrenbrueck, Lucas, 2014. "Quantitative Easing and the Liquidity Channel of Monetary Policy," MPRA Paper 70686, University Library of Munich, Germany, revised 10 Apr 2016.
  35. Luigi Iovino, 2012. "Sophisticated Intermediation and Aggregate Volatility," 2012 Meeting Papers 965, Society for Economic Dynamics.
  36. Rocheteau, Guillaume, 2011. "Payments and liquidity under adverse selection," Journal of Monetary Economics, Elsevier, vol. 58(3), pages 191-205.
  37. Randall Wright & Guillaume Rocheteau, 2011. "Liquidity and Asset Market Dynamics," 2011 Meeting Papers 103, Society for Economic Dynamics.
  38. 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.
  39. Randall Wright & Cathy Zhang & Guillaume Rocheteau, 2016. "Corporate Finance and Monetary Policy," 2016 Meeting Papers 97, Society for Economic Dynamics.
  40. Shengxing Zhang, 2012. "Liquidity Misallocation in an Over-The-Counter Market," 2012 Meeting Papers 529, Society for Economic Dynamics.
  41. 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.
  42. 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.
  43. Batchimeg Sambalaibat & Artem Neklyudov, 2016. "Endogenous Specialization and Dealer Networks," 2016 Meeting Papers 1041, Society for Economic Dynamics.
  44. Ricardo Lagos & Guillaume Rocheteau, 2009. "Liquidity in Asset Markets With Search Frictions," Econometrica, Econometric Society, vol. 77(2), pages 403-426, 03.
  45. Patrick Bolton & Tano Santos & Jose A. Scheinkman, 2011. "Cream Skimming in Financial Markets," NBER Working Papers 16804, National Bureau of Economic Research, Inc.
  46. André Kurmann, 2009. "Holdups and Overinvestment in Physical Capital Markets," Cahiers de recherche 0904, CIRPEE.
  47. Briana Chang, 2012. "Adverse Selection and Liquidity Distortion in Decentralized Markets," 2012 Meeting Papers 403, Society for Economic Dynamics.
  48. Gara M. Afonso, 2008. "Liquidity and congestion," Staff Reports 349, Federal Reserve Bank of New York.
  49. Han, Han, 2015. "Over-the-Counter Markets, Intermediation, and Monetary Policy," MPRA Paper 68709, University Library of Munich, Germany.
  50. Shengxing Zhang & Briana Chang, 2015. "Endogenous Market-making and Formation of Trading Links," 2015 Meeting Papers 1227, Society for Economic Dynamics.
  51. 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.
  52. 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.
  53. Selcuk, Cemil, 2012. "Distressed sales and liquidity in OTC markets," MPRA Paper 38188, University Library of Munich, Germany.
  54. Zhiguo He & Konstantin Milbradt, 2012. "Endogenous Liquidity and Defaultable Bonds," NBER Working Papers 18408, National Bureau of Economic Research, Inc.
  55. 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.
  56. 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.
  57. Kurmann, André, 2014. "Holdups and overinvestment in capital markets," Journal of Economic Theory, Elsevier, vol. 151(C), pages 88-113.
  58. Cecilia Parlatore Siritto, 2012. "Equilibrium Collateral Constraints," 2012 Meeting Papers 492, Society for Economic Dynamics.
  59. 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.
  60. Benjamin Falkeborg, 2015. "Dealing with Dynamic Agency," Discussion Papers 15-04, University of Copenhagen. Department of Economics.
  61. Aaron Hedlund, 2014. "Illiquidity and its Discontents: Trading Delays and Foreclosures in the Housing Market," Working Papers 1417, Department of Economics, University of Missouri.
  62. Yong Kim, 2009. "Capital Reallocation and Liquidity with Search Frictions," 2009 Meeting Papers 72, Society for Economic Dynamics.
  63. Weinberg, John A. & Ennis, Huberto M., 2009. "A model of stigma in the fed funds market," UC3M Working papers. Economics we095937, Universidad Carlos III de Madrid. Departamento de Economía.
  64. Athanasios, Geromichalos & Kuk Mo, Jung, 2016. "Monetary Policy and Efficiency in Over-the-Counter Financial Trade," MPRA Paper 71455, University Library of Munich, Germany.
  65. Pavan, Alessandro & Vives, Xavier, 2015. "Information, Coordination, and Market Frictions: An Introduction," Journal of Economic Theory, Elsevier, vol. 158(PB), pages 407-426.
  66. Guillaume Rocheteau & Pierre‐Olivier Weill, 2011. "Liquidity in Frictional Asset Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43, pages 261-282, October.
  67. 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.
  68. 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.
  69. Briana Chang, 2011. "Adverse Selection and Liquidity Distortion in Decentralized Markets," 2011 Meeting Papers 157, Society for Economic Dynamics.
  70. Robert Shimer & Gregor Jarosch & Maryam Farboodi, 2016. "Meeting Technologies in Decentralized Asset Markets," 2016 Meeting Papers 844, Society for Economic Dynamics.
  71. Pedro, Gomis-Porqueras, 2016. "Fiscal Requirements for Price Stability in Economies with Private Provision of Liquidity and Unemployment," MPRA Paper 75113, University Library of Munich, Germany.
  72. 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).
  73. Branch, William A., 2016. "Imperfect knowledge, liquidity and bubbles," Journal of Economic Dynamics and Control, Elsevier, vol. 62(C), pages 17-42.
  74. Zhong, Zhuo, 2016. "Reducing opacity in over-the-counter markets," Journal of Financial Markets, Elsevier, vol. 27(C), pages 1-27.
  75. 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.
  76. Mouhua Liao, "undated". "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.
  77. Rocheteau, Guillaume & Rodriguez-Lopez, Antonio, 2014. "Liquidity provision, interest rates, and unemployment," Journal of Monetary Economics, Elsevier, vol. 65(C), pages 80-101.
  78. 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.
  79. Shengxing Zhang, 2014. "Collateral Risk, Repo Rollover and Shadow Banking," 2014 Meeting Papers 562, Society for Economic Dynamics.
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