Liquidity premia in dynamic bargaining markets

DOI10.1016/j.jet.2007.08.004zbMath1136.91461OpenAlexW3122884139MaRDI QIDQ928876

Pierre-Olivier Weill

Publication date: 11 June 2008

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: http://archive.nyu.edu/handle/2451/26420

zbMATH Keywords

searchliquidity premia

Mathematics Subject Classification ID

Related Items (7)

Search-based models of money and finance: an integrated approach ⋮ Existence and uniqueness of a steady state for an OTC market with several assets ⋮ Imperfect knowledge, liquidity and bubbles ⋮ Equilibrium theory of stock market crashes ⋮ The exact law of large numbers for independent random matching ⋮ The relative contributions of private information sharing and public information releases to information aggregation ⋮ Portfolio choice and pricing in illiquid markets

Cites Work

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• Equilibrium interest rate and liquidity premium with transaction costs
• Liquidity shocks and equilibrium liquidity premia.
• Search and endogenous concentration of liquidity in asset markets
• Existence of independent random matching
• Over-the-Counter Markets

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