We present a dynamic over-the-counter model of the fed funds market, and use it to study the determination of the fed funds rate, the volume of loans traded, and the intraday evolution of the distribution of reserve balances across banks. We also investigate the implications of changes in the...

This paper presents a model of opaque secondary markets. Investors meet over-the-counter to trade heterogeneous assets under asymmetric information. An endogenous composition effect emerges whereby high liquidity alters the quality of the pool of sellers and decreases future liquidity. With...

Over-the-counter markets are at the center of the post-crisis global reform of the financial system. We show how the size and structure of such markets can undergo rapid and extensive changes when participants engage in portfolio compression, a post-trade netting technology. Tightly-knit and...