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A Model of Financial Market Liquidity Based on Intermediary Capital
Gromb, Denis - 2010
We present a model of financial market liquidity provided by financially constrained intermediaries. We show that … market liquidity increases with the level of intermediary capital. We also characterize conditions under which intermediaries …
Persistent link: https://www.econbiz.de/10013145343
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The dynamics of financially constrained arbitrage
Gromb, Denis; Vayanos, Dimitri - 2017
Persistent link: https://www.econbiz.de/10012205498
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Preferred-habitat investors and the US term structure of real rates
Kaminska, Iryna; Vayanos, Dimitri; Zinna, Gabriela - 2011
We estimate structurally a model of the term structure of interest rates that is consistent with no arbitrage but allows for demand pressures. The term structure in our model is determined through the interaction of risk-averse arbitrageurs and preferred-habitat investors with preferences for...
Persistent link: https://www.econbiz.de/10008907766
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Preferred-habitat investors and the US term structure of real rates
Kaminska, Iryna; Vayanos, Dimitri; Zinna, Gabriele - 2011
Persistent link: https://www.econbiz.de/10009244096
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Liquidity and asset prices : a unified framework
Vayanos, Dimitri; Wang, Jiang - 2009
Persistent link: https://www.econbiz.de/10003918890
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Liquidity and asset prices : a unified framework
Vayanos, Dimitri; Wang, Jiang - 2009
Persistent link: https://www.econbiz.de/10003874359
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Search and endogenous concentration of liquidity in asset markets
Vayanos, Dimitri; Wang, Tan - In: Journal of economic theory 136 (2007) 1, pp. 66-104
Persistent link: https://www.econbiz.de/10003552123
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Liquidity and asset prices : a unified framework
Vayanos, Dimitri; Wang, Jiang - 2009
Persistent link: https://www.econbiz.de/10003879945
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Liquidity and Asset Prices : A Unified Framework
Vayanos, Dimitri - 2009
We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information …
Persistent link: https://www.econbiz.de/10012463434
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Liquidity and Asset Prices : A Unified Framework
Vayanos, Dimitri - 2010
We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information …
Persistent link: https://www.econbiz.de/10013151396