Liquidity in financial marketsDo marketmakers provide the efficient amount of liquidity during a financial crisis? (2) A Search-based Theory of the On-the-run Phenomenon, with Dimitri Vayanos, LSE. Journal of Finance, Vol. 63 (2008), pp. 1351-1389.Why recently issued bond have higher price than older ones, even if they have the same cash flows.Nominated for the 2008 Smith Breeden Prize for the Best Paper in the Journal of Finance(3) Liquidity Premia in Dynamic Bargaining Markets, Journal of Economic Theory, Vol. 140 (2008), pp. 66-96.
The relationship between the distribution of tradeable shares and cross-sectional expected returns. (4) Models of the Liquidity Effect, with Chris Edmond, NYU Stern. The New Palgrave Dictionary of Economics 2nd edition.
An increase in the money supply is followed by a temporary fall of short-term interest rates.
(5) Crises and Liquidity in Over the Counter Markets, with Ricardo Lagos, NYU, and Guillaume Rocheteau, UC Irvine a substantially revised version of Crashes and Recoveries in Illiquid Markets. When OTC frictions are large, investors choose to trade so little that even well capitalized dealers don't find it optimal to provide liquidity. This creates a policy role for the government to buy private assets on its own account. (6) Liquidity Provision in Capacity Constrained Markets. When
competitive marketmakers face a capacity constraint on their number of
trades with outside investors, the bid-ask spread is positive, and
covaries positively with aggregate inventories.
(7) Liquidity Shocks and Order Book Dynamics, addendum, with Bruno Biais, TSE. How a limit order market absorb a transient liquidity shock? Equilibrium spread, order submission dynamics, cancellations, volume and depth. (8) Aggregate Implications of Micro Asset Market Segmentation with Chris Edmond, NYU Stern.Consumption-based asset pricing when agents trade through a financial system comprised of many micro asset markets partially integrated with one another.Real Estate(9) Why Has House Price Dispersion Gone Up? with Stijn Van Nieuwerburgh, NYU Stern. Forthcoming, Review of Economic Studies.The increase in wage dispersion across US metropolitan areas can help explain the increase in the level and dispersion of house prices. LearningWhen the information structure of the economy is endogenous, public information about aggregate economic condition can lead to more confusion and greater uncertainty. (11) Learning from Private and Public Observation of Others' Actions, addendum (substantially revised version) with Manuel Amador, Stanford. How information diffuses in a large economy through local interactions and prices. An earlier discrete time version circulated under the title Learning by Matching. (12) Restricted Perception Equilibria and Rational Expectations Equilibrium, with Stephane Gregoir, CREST. Journal of Economic Dynamics and Control, Vol. 31 (2007), pp 81-109. Equilibria where agents' decisions are based on an optimally misspecified model. |
 |
Research papers |