, liquidity, and asset prices. Arbitrageurs exploit price discrepancies between assets traded in segmented markets, and in doing … markets, liquidity in each market generally becomes less volatile, but the reverse may hold for aggregate liquidity because of …

first principles and show how to design financial contracts and markets in such a way that ex ante competition can achieve a … bundling, exclusivity and additional markets internalize these pecuniary externalities. We devise in this paper a general way … identify and quantify some policy intervention. With the appropriate ex ante design we can let markets solve the problem. …

possibility of trade in spot markets creates externalities, as spot prices and the bindingness of collateral constraints interact …

We evaluate the asset pricing implications of a class of models in which risk sharing is imperfect because of limited … pricing aggregate risk. We find that for high values of the relative risk aversion coefficient, the limited enforcement … pricing kernel generates a market price of risk that is substantially closer to the data than the one obtained using the …

particular, OTC markets feature a "counterparty risk externality" that we show can lead to ex-ante productive inefficiency. This …We model the opacity of over-the-counter (OTC) markets in a setup where agents share risks, but have incentives to … that parties take on short OTC positions that lead to levels of default risk that are higher than Pareto-efficient ones. In …

emerging markets, and the higher frequency of crises they displayed. Without financial frictions, the model yields a negligible … incentives induced by the risk of financial crises. …

International financial integration helps to diversify risk but also may increase the trans- mission of crises across … small. But the impact of a crisis with integrated international financial markets is much less severe than that under … integration can raise or lower welfare, depending on the scale of macroeconomic risk. In particular, in a low risk environment …

estimated model fits well the cross-sectional moments of household consumption growth and the unconditional moments of the risk … evidence, the model-implied risk-free rate and price-dividend ratio are pro-cyclical while the market return has …

emerging markets crises. Margin requirements set a collateral constraint on foreign borrowing by domestic agents. Foreign … ratio and the liquidity of asset markets. With high leverage and liquid markets, the shocks trigger margin calls forcing …