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Crises and Liquidity in Over-the-Counter Markets

Lagos, Ricardo - 2009

-the-counter (OTC) markets during crises. Our theory emphasizes two key frictions in OTC markets: finding counterparties takes time, and …

Persistent link: https://www.econbiz.de/10012463235

Crashes and Recoveries in Illiquid Markets

Lagos, Ricardo - 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/10012464526

Monetary Exchange in Over-the-Counter Markets : A Theory of Speculative Bubbles, the Fed Model, and Self-fulfilling Liquidity Crises

Lagos, Ricardo - 2015

. The theory predicts that asset prices carry a speculative premium that reflects the asset's marketability and depends on … anomalous. The theory also exhibits rational expectations equilibria with recurring belief driven events that resemble liquidity …

Persistent link: https://www.econbiz.de/10012457141