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Geromichalos, Athanasios; Herrenbrueck, Lucas; Lee, Sukjoon - 2018

Recently, a lot of attention has been paid to the role “safe and liquid assets” play in the macroeconomy. Many economists take as given that safer assets will also be more liquid, and some go a step further by practically using the two terms as synonyms. However, they are not synonyms:...

Persistent link: https://www.econbiz.de/10011940983

A model of the federal funds market: Yesterday, today, and tomorrow

Afonso, Gara; Armenter, Roc; Lester, Benjamin - 2018

The landscape of the federal funds market changed drastically in the wake of the Great Recession as large-scale asset purchase programs left depository institutions awash with reserves and new regulations made it more costly for these institutions to lend. As traditional levers for implementing...

Persistent link: https://www.econbiz.de/10011942785

Heterogeneity in decentralized asset markets

Hugonnier, Julien; Lester, Benjamin; Weill, Pierre-Olivier - In: Theoretical Economics 17 (2022) 3, pp. 1313-1356

characterization offers a richer framework for confronting data from real-world markets, and reveals a number of new economic insights …

Persistent link: https://www.econbiz.de/10014537009

Private and public liquidity provision in over-the-counter markets

Arseneau, David M.; Rappoport, David E.; Vardoulakis, … - In: Theoretical Economics 15 (2020) 4, pp. 1669-1712

We show that trade frictions in OTC markets result in inefficient private liquidity provision. We develop a dynamic … model of market-based financial intermediation with a two-way interaction between primary credit markets and secondary OTC … markets. Private allocations are generically inefficient because investors and firms fail to internalize how their actions …

Persistent link: https://www.econbiz.de/10013189011

The Souk Al-Manakh: The anatomy of a pure price-chasing bubble

Veneroso, Frank; Pasquali, Mark - 2021

, drawn from a book in progress, examines the history of stock markets for comparable pure price-chasing bubbles, finding nine …

Persistent link: https://www.econbiz.de/10012610215

Asset Liquidity in Monetary Theory and Finance: A Unified Approach

Geromichalos, Athanasios; Jung, Kuk Mo; Lee, Seungduck; … - 2019

Economists often say that certain types of assets, e.g., Treasury bonds, are very 'liquid'. Do they mean that these assets are likely to serve as media of exchange or collateral (a definition of liquidity often employed in monetary theory), or that they can be easily sold in a secondary market,...

Persistent link: https://www.econbiz.de/10012655877

Intermediation in Networks

Siedlarek, Jan-Peter - 2014

I study intermediation in networked markets using a stochastic model of multilateral bargaining in which traders …

Persistent link: https://www.econbiz.de/10010427150

Central bank purchases of government bonds

Huber, Samuel; Kim, Jaehong - 2015

We develop a microfounded model, where agents have the possibility to trade money for government bonds in an over-the-counter market. It allows us to address important open questions about the effects of central bank purchases of government bonds, these being: under what conditions these...

Persistent link: https://www.econbiz.de/10011282527

Covered bonds, core markets, and financial stability

Anand, Kartik; Chapman, James; Gai, Prasanna - 2012

-the-counter market network structures influence the liquidity of secured funding markets and crisis dynamics. We draw on the framework to …

Persistent link: https://www.econbiz.de/10010318759

Monetary policy, asset prices, and liquidity in over-the-counter markets

Geromichalos, Athanasios; Herrenbrueck, Lucas - 2012

study a model in which money helps facilitate trade in decentralized markets, as in Lagos andWright (2005), and real assets …

Persistent link: https://www.econbiz.de/10010318848