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Citations for "A Search-Based Theory of the On-the-Run Phenomenon"

by Pierre-Olivier Weill & Dimitri Vayanos

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  1. Gerlach, Stefan & Schulz, Alexander & Wolff, Guntram B., 2010. "Banking and Sovereign Risk in the Euro Area," CEPR Discussion Papers 7833, C.E.P.R. Discussion Papers.
  2. Song, Zhaogang & Zhu, Haoxiang, 2014. "QE Auctions of Treasury Bonds," Finance and Economics Discussion Series 2014-48, Board of Governors of the Federal Reserve System (U.S.).
  3. Bruce Mizrach & Christopher J. Neely, 2007. "Information shares in the U.S. treasury market," Working Papers 2005-070, Federal Reserve Bank of St. Louis.
  4. Gara M. Afonso, 2008. "Liquidity and congestion," Staff Reports 349, Federal Reserve Bank of New York.
  5. Julien Hugonnier & Benjamin Lester & Pierre-Olivier Weill, 2014. "Heterogeneity in Decentralized Asset Markets," NBER Working Papers 20746, National Bureau of Economic Research, Inc.
  6. Gara Minguez Afonso, 2008. "Liquidity and Congestion," 2008 Meeting Papers 926, Society for Economic Dynamics.
  7. Martin Meier & Burkhard Schipper, 2014. "Bayesian games with unawareness and unawareness perfection," Economic Theory, Springer, vol. 56(2), pages 219-249, June.
  8. Jean-Marc Bottazzi & Jaime Luque & Mario R. Pascoa & Suresh Sundaresan, 2011. "The dollar squeeze of the financial crisis," Economics Working Papers we1139, Universidad Carlos III, Departamento de Economía.
  9. Qin Lei & Xuewu Wang, 2012. "Flight to liquidity due to heterogeneity in investment horizon," China Finance Review International, Emerald Group Publishing, vol. 2(2), pages 316-350, August.
  10. Ricardo Lagos & Guillaume Rocheteau, 2008. "Liquidity in asset markets with search frictions," Staff Report 408, Federal Reserve Bank of Minneapolis.
  11. Pierre-Olivier Weill & Bruno Biais, 2009. "Liquidity shocks and order book dynamics," 2009 Meeting Papers 89, Society for Economic Dynamics.
  12. Jean Marc Bottazzi & Jaime Luque & Mario Pascoa, 2011. "Securities market theory: possession, repo and rehypothecation," 2011 Meeting Papers 1214, Society for Economic Dynamics.
  13. De Rezende, Rafael B., 2015. "Risks in macroeconomic fundamentals and excess bond returns predictability," Working Paper Series 295, Sveriges Riksbank (Central Bank of Sweden).
  14. Hu, Tai-Wei & Rocheteau, Guillaume, 2013. "On the coexistence of money and higher-return assets and its social role," Journal of Economic Theory, Elsevier, vol. 148(6), pages 2520-2560.
  15. Williamson, Stephen D. & Wright, Randall, 2010. "New Monetarist Economics: Methods," MPRA Paper 21486, University Library of Munich, Germany.
  16. Gara Afonso & Ricardo Lagos, 2014. "Trade Dynamics in the Market for Federal Funds," NBER Working Papers 20419, National Bureau of Economic Research, Inc.
  17. Borghan Nezami Narajabad & Cyril Monnet, 2012. "Why Rent When You Can Buy? A Theory of Repurchase Agreements," 2012 Meeting Papers 647, Society for Economic Dynamics.
  18. Ricardo Lagos & Guillaume Rocheteau, 2006. "Search in Asset Markets," 2006 Meeting Papers 869, Society for Economic Dynamics.
  19. Pierre-Olivier Weill & Guillaume Rocheteau & Ricardo Lagos, 2007. "Crashes and Recoveries in Illiquid Markets," 2007 Meeting Papers 981, Society for Economic Dynamics.
  20. D'Amico, Stefania & Fan, Roger & Kitsul, Yuriy, 2014. "The scarcity value of Treasury collateral: Repo market effects of security-specific supply and demand factors," Finance and Economics Discussion Series 2014-60, Board of Governors of the Federal Reserve System (U.S.).
  21. Lin, William & Tsai, Shih-Chuan & Sun, David, 2010. "Search costs and investor trading activity: evidences from limit order book," MPRA Paper 37284, University Library of Munich, Germany, revised Aug 2011.
  22. Ricardo Lagos, 2005. "Asset Prices and Liquidity in an Exchange Economy," 2005 Meeting Papers 143, Society for Economic Dynamics.
  23. Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2010. "Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle," NBER Working Papers 16358, National Bureau of Economic Research, Inc.
  24. Segura, Anatoli & Suarez, Javier, 2011. "Liquidity shocks, roll-over risk and debt maturity," CEPR Discussion Papers 8324, C.E.P.R. Discussion Papers.
  25. Dugast, J., 2013. "Limited attention and news arrival in limit order markets," Working papers 449, Banque de France.
  26. Kajuth, Florian & Watzka, Sebastian, 2011. "Inflation expectations from index-linked bonds: Correcting for liquidity and inflation risk premia," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(3), pages 225-235, June.
  27. Williamson, Stephen D. & Wright, Randall, 2010. "New Monetarist Economics: Models," MPRA Paper 21030, University Library of Munich, Germany.
  28. Ben Lester & Braz Camargo, 2010. "Trading Dynamics in Decentralized Markets with Adverse Selection," 2010 Meeting Papers 488, Society for Economic Dynamics.
  29. Luigi Iovino, 2012. "Sophisticated Intermediation and Aggregate Volatility," 2012 Meeting Papers 965, Society for Economic Dynamics.
  30. Pierre-Olivier Weill & Guillaume Rocheteau & Ricardo Lagos, 2010. "Crises and Liquidity in Over-the-counter Markets," 2010 Meeting Papers 500, Society for Economic Dynamics.
  31. Hajime Tomura, 2014. "Investment Horizon and Repo in the Over-the-Counter Market," UTokyo Price Project Working Paper Series 037, University of Tokyo, Graduate School of Economics.
  32. Luigi Iovino, 2014. "Sophisticated Intermediation and Aggregate Volatility," 2014 Meeting Papers 1044, Society for Economic Dynamics.
  33. Gârleanu, Nicolae, 2009. "Portfolio choice and pricing in illiquid markets," Journal of Economic Theory, Elsevier, vol. 144(2), pages 532-564, March.
  34. Hajime Tomura, 2014. "Investment Horizon and Repo in the Over-the-Counter Market," UTokyo Price Project Working Paper Series 026, University of Tokyo, Graduate School of Economics.
  35. Athanasios Geromichalos & Lucas Herrenbrueck & Kevin Salyer, 2013. "A Search-Theoretic Model of the Term Premium," Working Papers 138, University of California, Davis, Department of Economics.
  36. Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity - Theory and Empirical Evidence," FMG Discussion Papers dp709, Financial Markets Group.
  37. 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.
  38. Banerjee, Snehal & Graveline, Jeremy J., 2014. "Trading in derivatives when the underlying is scarce," Journal of Financial Economics, Elsevier, vol. 111(3), pages 589-608.
  39. Zhiguo He & Konstantin Milbradt, 2012. "Endogenous Liquidity and Defaultable Bonds," NBER Working Papers 18408, National Bureau of Economic Research, Inc.
  40. Mikhail Golosov & Guido Lorenzoni & Aleh Tsyvinski, 2009. "Decentralized Trading with Private Information," NBER Working Papers 15513, National Bureau of Economic Research, Inc.
  41. Alexander Schulz & Guntram B. Wolff, 2009. "The German Sub-national Government Bond Market: Structure, Determinants of Yield Spreads and Berlin's Forgone Bail-out," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 229(1), pages 61-83, February.
  42. Challe, Edouard & Le Grand, François & Ragot, Xavier, 2013. "Incomplete markets, liquidation risk, and the term structure of interest rates," Journal of Economic Theory, Elsevier, vol. 148(6), pages 2483-2519.
  43. repec:dgr:uvatin:2012138 is not listed on IDEAS
  44. Jean-Marc Bottazzi & Jaime Luque & Mário R. Páscoa & Suresh Sundaresan, 2012. "The Dollar Squeeze of the Financial Crisis," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00673982, HAL.
  45. Hajime Tomura, 2013. "Repos in Over-the-Counter Markets," UTokyo Price Project Working Paper Series 005, University of Tokyo, Graduate School of Economics.
  46. Max Bruche & Anatoli Segura, 2013. "Debt Maturity and the Liquidity of Secondary Debt Markets," FMG Discussion Papers dp726, Financial Markets Group.
  47. 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).
  48. repec:dgr:uvatin:20120138 is not listed on IDEAS
  49. Gara Afonso & Anna Kovner & Antoinette Schoar, 2013. "Trading partners in the interbank lending market," Staff Reports 620, Federal Reserve Bank of New York.
  50. Andrea Pinna, 2015. "Price Formation of Pledgeable Securities," BEMPS - Bozen Economics & Management Paper Series BEMPS26, School of Economics and Management at the Free University of Bozen.
  51. Alexius, Annika & Birenstam, Helene & Eklund, Johanna, 2014. "The interbank market risk premium, central bank interventions, and measures of market liquidity," Journal of International Money and Finance, Elsevier, vol. 48(PA), pages 202-217.
  52. Yumi Saita & Chihiro Shimizu & Tsutomu Watanabe, 2013. "Aging and Real Estate Prices:Evidence from Japanese and US Regional Data," UTokyo Price Project Working Paper Series 014, University of Tokyo, Graduate School of Economics, revised Dec 2013.
  53. Graveline, Jeremy J. & McBrady, Matthew R., 2011. "Who makes on-the-run Treasuries special?," Journal of Financial Intermediation, Elsevier, vol. 20(4), pages 620-632, October.
  54. Adam Ashcraft & Darrell Duffie, 2007. "Over the Counter Search Frictions: A Case Study of the Federal Funds Market," 2007 Meeting Papers 999, Society for Economic Dynamics.
  55. Bruce Mizrach & Christopher J. Neely, 2007. "The microstructure of the U.S. treasury market," Working Papers 2007-052, Federal Reserve Bank of St. Louis.
  56. Pasquariello, Paolo & Vega, Clara, 2009. "The on-the-run liquidity phenomenon," Journal of Financial Economics, Elsevier, vol. 92(1), pages 1-24, April.
  57. Andrei Kapaev, 2013. "Remark on repo and options," Papers 1311.5211, arXiv.org.
  58. Patrick Bolton & Tano Santos & Jose A. Scheinkman, 2011. "Cream Skimming in Financial Markets," NBER Working Papers 16804, National Bureau of Economic Research, Inc.
  59. Semyon Malamud & Marzena Rostek, 2012. "Decentralized Exchange," Working Papers 12-18, NET Institute.
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