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The Max-Convolution Approach to Equilibrium Models with Indivisibilities
YANG, Zaifu; SUN, Ning - Econometric Society - 2004
This paper studies a competitive market model for trading indivisible commodities. Commodities can be desirable or undesirable. Agents' preferences depend on the bundle of commodities and the quantity of money they hold. We assume that agents have quasi-linear utilities in money. Using the...
Persistent link: https://www.econbiz.de/10005130244
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Indivisible Goods and Fiat Money
Rivera, Jorge; Florig, Michael - Econometric Society - 2004
In spite of fiat money is useless in a standard Arrow-Debreu model, in this paper we will show that this does not hold true anymore when goods are indivisible. In our setting, although fiat money yields no utility, its price will always be positive and the set of equilibrium allocations changes...
Persistent link: https://www.econbiz.de/10005699608
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Liquidity Premia in Dynamic Bargaining Markets
duffie - Econometric Society - 2004
This paper develops a search-theoretic model of the cross-sectional distribution of asset returns. It abstracts from … of liquidity with a simple linear formula: In equilibrium, the liquidity spread of an asset is proportional to the … risk premia and focuses exclusively on liquidity. A float-adjusted return model (FARM) is derived, explaining the pricing …
Persistent link: https://www.econbiz.de/10005328954
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Valuation in Dynamic Bargaining Markets
duffie - Econometric Society - 2004
We study the impact on asset prices of illiquidity associated with search and bargaining in an economy in which agents … find each other more easily. Prices become Walrasian as investors' or marketmakers' search intensities get large …. Endogenizing search intensities yields natural welfare implications. Information can fail to be revealed through trading when …
Persistent link: https://www.econbiz.de/10005328973
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Valuation in Dynamic Bargaining Markets
Pedersen, Lasse; Duffie, Darrell; Garleanu, Nicolae - Econometric Society - 2004
We study the impact on asset prices of illiquidity associated with search and bargaining in an economy in which agents … find each other more easily. Prices become Walrasian as investors' or marketmakers' search intensities get large …. Endogenizing search intensities yields natural welfare implications. Information can fail to be revealed through trading when …
Persistent link: https://www.econbiz.de/10005328997
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Search and Endogenous Concentration of Liquidity in Asset Markets
dvayanos - Econometric Society - 2004
In this paper, we develop a search-based model of asset trading. We assume that investors differ in their horizons, and … can invest in two identical assets. The asset markets are partially segmented: investors can search in only one market … ``liquid" market has higher volume and prices, and lower search times for buyers and sellers. The clientele equilibrium …
Persistent link: https://www.econbiz.de/10005329007
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simultaneous search
smith, lones; chade, hector - Econometric Society - 2004
We introduce and solve a new class of static portfolio choice problems, where only the best realized alternative matters. A decision maker must simultaneously choose among independent ranked options, and the better alternatives have a lower chance of panning out. Each choice is costly, and just...
Persistent link: https://www.econbiz.de/10005342200
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Liquidity Premia in Dynamic Bargaining Markets
Weill, Pierre-Olivier - Econometric Society - 2004
This paper develops a search-theoretic model of the cross-sectional distribution of asset returns. It abstracts from … of liquidity with a simple linear formula: In equilibrium, the liquidity spread of an asset is proportional to the … risk premia and focuses exclusively on liquidity. A float-adjusted return model (FARM) is derived, explaining the pricing …
Persistent link: https://www.econbiz.de/10005063574
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Search and Endogenous Concentration of Liquidity in Asset Markets
Vayanos, Dmitrios - Econometric Society - 2004
In this paper, we develop a search-based model of asset trading. We assume that investors differ in their horizons, and … can invest in two identical assets. The asset markets are partially segmented: investors can search in only one market … ``liquid" market has higher volume and prices, and lower search times for buyers and sellers. The clientele equilibrium …
Persistent link: https://www.econbiz.de/10005063610
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An Experimental Study of Price Dispersion in a Search Model with Advertising
Datta, Shakun; Cason, Timothy N. - Econometric Society - 2004
search. Sellers simultaneously post prices and decide whether or not to incur an exogenous cost to advertise their price … increases in either search or advertising costs are reflected in higher equilibrium prices. To test the predictions regarding … the level and dispersion of prices and advertising intensity, we vary the costs of search and advertising as well as the …
Persistent link: https://www.econbiz.de/10005063675