We study the effect of releasing public information about productivity or monetary shocks using a micro-founded macroeconomic model in which agents learn from the distribution of nominal prices. While a public release has the direct beneficial effect of providing new information, it also has the...

We study an over-the-counter (OTC) market with bilateral meetings and bargaining where the usefulness of assets, as means of payment or collateral, is limited by the threat of fraudulent practices. We assume that agents can produce fraudulent assets at a positive cost, which generates endogenous...

We study an over-the-counter (OTC) market with bilateral meetings and bargaining where the usefulness of assets, as means of payment or collateral, is limited by the threat of fraudulent practices. We assume that agents can produce fraudulent assets at a positive cost, which generates endogenous...

We study the reaction of financial markets to aggregate liquidity shocks when traders face cognition limits. While each financial institution recovers from the shock at a random time, the trader representing the institution observes this recovery with a delay, reecting the time it takes to...

A large body of empirical work documents that specialized asset markets (e.g. stocks, bonds, derivatives) seem to be segmented: local asset prices are driven in part by local factors such as local demand or local changes in idiosyncratic risk. The goal of this paper is to study the aggregate...

from the National Income and Product Accounts to evaluate the quantitative success of the model relative to a single-good benchmark.

when investors’ ability to monitor the market improves, the ratio of messages (order submission and cancelations) to volume increases, consistent with recent evidence on the impact of computerization and algorithmic trading.

We study the dynamics of dealers' inventories during an asset market crash, described as a temporary, negative shock to outside investors' aggregate asset demand. We consider a class of dynamic market settings where trading between dealers and outside investors is subject to delays and requires...