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A Search-Based Theory of the On-the-Run Phenomenon
Vayanos, Dimitri; Weill, Pierre-Olivier - C.E.P.R. Discussion Papers - 2006
they must deliver the asset they borrowed. That asset enjoys greater liquidity, measured by search times, and a higher … establish long positions in a search spot market, or short positions by first borrowing an asset in a search repo market. We … show that short-sellers can endogenously concentrate in one asset because of search externalities and the constraint that …
Persistent link: https://www.econbiz.de/10005504616
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Valuation in Over-the-Counter Markets
Duffie, Darrell; Garleanu, Nicolae Bogdan; Pedersen, … - C.E.P.R. Discussion Papers - 2006
We provide the impact on asset prices of search-and-bargaining frictions in over-the-counter markets. Under certain … shocks cause prices to jump, and then 'recover' over time, with a time signature that is exaggerated by search frictions. We …
Persistent link: https://www.econbiz.de/10005661894
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Cross-Country Causes and Consequences of the 2008 Crisis: International Linkages and American Exposure
Rose, Andrew K; Spiegel, Mark - C.E.P.R. Discussion Papers - 2009
This paper models the causes of the 2008 financial crisis together with its manifestations, using a Multiple Indicator Multiple Cause (MIMIC) model. Our analysis is conducted on a cross-section of 85 countries; we focus on international linkages that may have allowed the crisis to spread across...
Persistent link: https://www.econbiz.de/10008528523
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Financial Integration: A New Methodology and an Illustration
Flood, Robert P; Rose, Andrew K - C.E.P.R. Discussion Papers - 2003
This Paper develops a simple new methodology to test for asset integration and applies it within and between American … stock markets. Our technique is tightly based on a general intertemporal asset-pricing model, and relies on estimating and …
Persistent link: https://www.econbiz.de/10005497716
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Offshore Financial Centres: Parasites or Symbionts?
Rose, Andrew K; Spiegel, Mark - C.E.P.R. Discussion Papers - 2005
This paper analyses the causes and consequences of offshore financial centers (OFCs). Since OFCs are likely to be tax havens and money launderers, they encourage bad behaviour in source countries. Nevertheless, OFCs may also have unintended positive consequences for their neighbours, since they...
Persistent link: https://www.econbiz.de/10005114144
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Estimating the Expected Marginal Rate of Substitution: Exploiting Idiosyncratic Risk
Flood, Robert P; Rose, Andrew K - C.E.P.R. Discussion Papers - 2004
substitution or ‘EMRS’, using only data on asset prices and returns. Our empirical strategy is general, and allows the EMRS to vary … with considerable precision and time-series volatility. We then use these estimates to test for asset integration, both …
Persistent link: https://www.econbiz.de/10005656417
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Search and Matching in the Housing Market
Genesove, David; Han, Lu - C.E.P.R. Discussion Papers - 2010
Housing markets clear, in part, through the time that buyers and sellers spend on the market. We show that demand generally leads to shorter seller time on the market and fewer homes that buyers visit, while buyer time on the market is much less sensitive to demand. Furthermore, seller time on...
Persistent link: https://www.econbiz.de/10008468515
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Employment Protection, Technology Choice, and Worker Allocation
Bartelsman, Eric J; de Wind, Joris; Gautier, Pieter A - C.E.P.R. Discussion Papers - 2010
Using a country-industry panel dataset (EUKLEMS) we uncover a robust empirical regularity, namely that high-risk innovative sectors are relatively smaller in countries with strict employment protection legislation (EPL). To understand the mechanism, we develop a two-sector matching model where...
Persistent link: https://www.econbiz.de/10008468571
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Gender and Racial Biases: Evidence from Child Adoption
Baccara, Mariagiovanna; Collard-Wexler, Allan; Felli, … - C.E.P.R. Discussion Papers - 2010
This paper uses a new data set on domestic child adoption to document the preferences of potential adoptive parents over born and unborn babies relinquished for adoption by their birth mothers. We show that adoptive parents exhibit significant biases in favor of girls and against...
Persistent link: https://www.econbiz.de/10008468711
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Information Gatekeepers: Theory and Experimental Evidence
Brocas, Isabelle; Carrillo, Juan D; Palfrey, Thomas R - C.E.P.R. Discussion Papers - 2009
We consider a model where two adversaries can spend resources in acquiring public information about the unknown state of the world in order to influence the choice of a decision maker. We characterize the sampling strategies of the adversaries in the equilibrium of the game. We show that, as the...
Persistent link: https://www.econbiz.de/10008528540