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Crises and Liquidity in Over-the-Counter Markets

Lagos, Ricardo; Weill, Pierre-Olivier; Rocheteau, Guillaume - National Bureau of Economic Research (NBER) - 2009

We study the efficiency of dealers' liquidity provision and the desirability of policy intervention in over-the-counter (OTC) markets during crises. Our theory emphasizes two key frictions in OTC markets: finding counterparties takes time, and trade is bilateral, with quantities and prices...

Persistent link: https://www.econbiz.de/10008627111

Trading and Liquidity with Limited Cognition

Biais, Bruno R; Weill, Pierre-Olivier; Hombert, Johan - National Bureau of Economic Research (NBER) - 2010

We study the reaction of financial markets to aggregate liquidity shocks when traders face cognition limits. While each financial institution recovers from the shock at a random time, the trader representing the institution observes this recovery with a delay reflecting the time it takes to...

Persistent link: https://www.econbiz.de/10008764661

Heterogeneity in Decentralized Asset Markets

Weill, Pierre-Olivier; Hugonnier, Julien; Lester, Benjamin - National Bureau of Economic Research (NBER) - 2014

We study a search and bargaining model of an asset market, where investors’ heterogeneous valuations for the asset are … magnifies the price impact of search frictions; and second, search frictions have larger effects on price levels than on price … dispersion. Hence, quantifying the price discount or premium created by search frictions based on observed price dispersion can …

Persistent link: https://www.econbiz.de/10011098936

The Market for OTC Derivatives

Atkeson, Andrew; Weill, Pierre-Olivier; Eisfeldt, Andrea L. - National Bureau of Economic Research (NBER) - 2013

We develop a model of equilibrium entry, trade, and price formation in over-the- counter (OTC) markets. Banks trade derivatives to share an aggregate risk subject to two trading frictions: they must pay a fixed entry cost, and they must limit the size of the positions taken by their traders...

Persistent link: https://www.econbiz.de/10010950732

Competing for Order Flow in OTC Markets

Weill, Pierre-Olivier; Lester, Benjamin; Rocheteau, … - National Bureau of Economic Research (NBER) - 2014

between these existing models, which assume investors engage in random search for dealers and then use ex post bargaining to … determine prices, and our model, which utilizes the concept of competitive search in which dealers post terms of trade. Finally …

Persistent link: https://www.econbiz.de/10010951340

Crashes and Recoveries in Illiquid Markets

Lagos, Ricardo; Weill, Pierre-Olivier; Rocheteau, Guillaume - National Bureau of Economic Research (NBER) - 2008

We study the dynamics of liquidity provision by dealers during an asset market crash, described as a temporary negative shock to investors aggregate asset demand. We consider a class of dynamic market settings where dealers can trade continuously with each other, while trading between dealers...

Persistent link: https://www.econbiz.de/10005710803

Learning from Prices: Public Communication and Welfare

Amador, Manuel; Weill, Pierre-Olivier - National Bureau of Economic Research (NBER) - 2008

We study the effect of releasing public information about productivity or monetary shocks when agents learn from nominal prices. While public releases have the benefit of providing new information, they can have the cost of reducing the informational efficiency of the price system. We show that,...

Persistent link: https://www.econbiz.de/10005714775