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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. Ricardo Lagos & Guillaume Rocheteau, 2006. "Search in asset markets," Staff Report 375, Federal Reserve Bank of Minneapolis.
  2. Pierre-Olivier Weill & Bruno Biais, 2009. "Liquidity shocks and order book dynamics," 2009 Meeting Papers 89, Society for Economic Dynamics.
  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. Ricardo Lagos & Guillaume Rocheteau, 2008. "Liquidity in asset markets with search frictions," Staff Report 408, Federal Reserve Bank of Minneapolis.
  5. Camargo, Braz & Lester, Benjamin, 2014. "Trading dynamics in decentralized markets with adverse selection," Journal of Economic Theory, Elsevier, vol. 153(C), pages 534-568.
  6. William T. Lin & Shih-Chuan Tsai & David S. Sun, 2012. "Search Costs and Investor Trading Activity: Evidence from Limit Order Books," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 48(3), pages 4-30, May.
  7. repec:dgr:uvatin:2012138 is not listed on IDEAS
  8. Alexius, Annika & Birenstam, Helene & Eklund, Johanna, 2014. "The interbank market risk premium, central bank interventions, and measures of market liquidity," Research Papers in Economics 2014:2, Stockholm University, Department of Economics.
  9. 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.
  10. Ricardo Lagos & Gara Afonson, 2011. "Trade Dynamics in the Market for Federal Funds," 2011 Meeting Papers 314, Society for Economic Dynamics.
  11. 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.
  12. 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.
  13. Zhiguo He & Konstantin Milbradt, 2012. "Endogenous Liquidity and Defaultable Bonds," NBER Working Papers 18408, National Bureau of Economic Research, Inc.
  14. 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.).
  15. Williamson, Stephen & Wright, Randall, 2010. "New Monetarist Economics: Models," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 2, pages 25-96 Elsevier.
  16. 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.
  17. Semyon Malamud & Marzena Rostek, 2012. "Decentralized Exchange," Working Papers 12-18, NET Institute.
  18. 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.
  19. Williamson, Stephen D. & Wright, Randall, 2010. "New Monetarist Economics: Methods," MPRA Paper 21486, University Library of Munich, Germany.
  20. Pasquariello, Paolo & Vega, Clara, 2009. "The on-the-run liquidity phenomenon," Journal of Financial Economics, Elsevier, vol. 92(1), pages 1-24, April.
  21. 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.
  22. Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity - Theory and Empirical Evidence," FMG Discussion Papers dp709, Financial Markets Group.
  23. 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.
  24. Gara Minguez Afonso, 2008. "Liquidity and Congestion," 2008 Meeting Papers 926, Society for Economic Dynamics.
  25. Pierre-Olivier Weill & Guillaume Rocheteau & Ricardo Lagos, 2007. "Crashes and Recoveries in Illiquid Markets," 2007 Meeting Papers 981, Society for Economic Dynamics.
  26. Gârleanu, Nicolae, 2009. "Portfolio choice and pricing in illiquid markets," Journal of Economic Theory, Elsevier, vol. 144(2), pages 532-564, March.
  27. Martin Meier & Burkhard Schipper, 2012. "Bayesian Games with Unawareness and Unawareness Perfection," Working Papers 129, University of California, Davis, Department of Economics.
  28. Bottazzi, Jean-Marc & Luque, Jaime & Páscoa, Mário R., 2012. "Securities market theory: Possession, repo and rehypothecation," Journal of Economic Theory, Elsevier, vol. 147(2), pages 477-500.
  29. 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.
  30. 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.
  31. Andrei Kapaev, 2013. "Remark on repo and options," Papers 1311.5211, arXiv.org.
  32. Mikhail Golosov & Guido Lorenzoni & Aleh Tsyvinski, 2009. "Decentralized Trading with Private Information," NBER Working Papers 15513, National Bureau of Economic Research, Inc.
  33. 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.
  34. Hanno Lustig, 2011. "Why Does the Treasury Issue TIPS? The TIPS-Treasury Bond Puzzle," 2011 Meeting Papers 1443, Society for Economic Dynamics.
  35. Gara Afonso & Anna Kovner & Antoinette Schoar, 2013. "Trading partners in the interbank lending market," Staff Reports 620, Federal Reserve Bank of New York.
  36. 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.
  37. 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.).
  38. Patrick Bolton & Tano Santos & Jose A. Scheinkman, 2011. "Cream Skimming in Financial Markets," NBER Working Papers 16804, National Bureau of Economic Research, Inc.
  39. Max Bruche & Anatoli Segura, 2013. "Debt maturity and the liquidity of secondary debt markets," LSE Research Online Documents on Economics 55404, London School of Economics and Political Science, LSE Library.
  40. Lagos, Ricardo, 2010. "Asset prices and liquidity in an exchange economy," Journal of Monetary Economics, Elsevier, vol. 57(8), pages 913-930, November.
  41. 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.
  42. 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.
  43. Hajime Tomura, 2013. "Repos in Over-the-Counter Markets," UTokyo Price Project Working Paper Series 005, University of Tokyo, Graduate School of Economics.
  44. Afonso, Gara, 2011. "Liquidity and congestion," Journal of Financial Intermediation, Elsevier, vol. 20(3), pages 324-360, July.
  45. 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.
  46. Gerlach, Stefan & Schulz, Alexander & Wolff, Guntram B., 2010. "Banking and sovereign risk in the euro area," Discussion Paper Series 1: Economic Studies 2010,09, Deutsche Bundesbank, Research Centre.
  47. Luigi Iovino, 2012. "Sophisticated Intermediation and Aggregate Volatility," 2012 Meeting Papers 965, Society for Economic Dynamics.
  48. Bruce Mizrach & Christopher J. Neely, 2007. "The microstructure of the U.S. treasury market," Working Papers 2007-052, Federal Reserve Bank of St. Louis.
  49. Jean-Marc Bottazzi & Jaime Luque & Mário R. Páscoa & Suresh Sundaresan, 2012. "The dollar squeeze of the financial crisis," Documents de travail du Centre d'Economie de la Sorbonne 12009, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  50. 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).
  51. 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.
  52. Segura, Anatoli & Suarez, Javier, 2011. "Liquidity shocks, roll-over risk and debt maturity," CEPR Discussion Papers 8324, C.E.P.R. Discussion Papers.
  53. Julien Hugonnier & Benjamin Lester & Pierre-Olivier Weill, 2014. "Heterogeneity in Decentralized Asset Markets," NBER Working Papers 20746, National Bureau of Economic Research, Inc.
  54. repec:dgr:uvatin:20120138 is not listed on IDEAS
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