| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20746 |
| 来源ID | Working Paper 20746 |
| Heterogeneity in Decentralized Asset Markets | |
| Julien Hugonnier; Benjamin Lester; Pierre-Olivier Weill | |
| 发表日期 | 2014-12-15 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We study a search and bargaining model of an asset market, where investors' heterogeneous valuations for the asset are drawn from an arbitrary distribution. Our solution technique makes the model fully tractable and allows us to provide a full characterization of the unique equilibrium, in closed-form, both in and out of steady-state. Using this characterization, we first establish that the model generates aggregate trading patterns that are consistent with those observed in many over-the-counter asset markets. Then, we show that the model can replicate empirical regularities reported from micro-level data sets, including the relationships between the length of the intermediation chains through which assets are reallocated, the network centrality of the dealers involved in these chains, and the markup charged on the asset being passed along the chain. Finally, we show that heterogeneity magnifies the price impact of search frictions, and that this impact is more pronounced on price levels than on price dispersion. Hence, using observed price dispersion to quantify the effect of search frictions on price discounts or premia can be misleading. |
| 主题 | Microeconomics ; General Equilibrium ; Economics of Information ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w20746 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/578421 |
| 推荐引用方式 GB/T 7714 | Julien Hugonnier,Benjamin Lester,Pierre-Olivier Weill. Heterogeneity in Decentralized Asset Markets. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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