Why Has House Price Dispersion Gone Up? (2006)
Van Nieuwerburgh, Stijn, Weill, Pierre-Olivier
We investigate the 30 year increase in the level and dispersion of house prices across U.S. metropolitan areas in a calibrated dynamic general equilibrium island model. The model is based on two main...
Why Has House Price Dispersion Gone Up? (2006)
Van Nieuwerburgh, Stijn, Weill, Pierre-Olivier
We investigate the 30 year increase in the level and dispersion of house prices across U.S. metropolitan areas in a calibrated dynamic general equilibrium island model. The model is based on two main...
Liquidity Premia in Dynamic Bargaining Markets (2005)
This paper develops a search-theoretic model of the cross-sectional distribution of asset returns, abstracting from risk premia and focusing exclusively on liquidity. I derive a float-adjusted return...
Liquidity Premia in Dynamic Bargaining Markets (2005)
This paper develops a search-theoretic model of the cross-sectional distribution of asset returns, abstracting from risk premia and focusing exclusively on liquidity. I derive a float-adjusted return...
Liquidity Premia in Dynamic Bargaining Markets (2005)
This paper develops a search-theoretic model of the cross-sectional distribution of asset returns, abstracting from risk premia and focusing exclusively on liquidity. I derive a float-adjusted return...
Liquidity Premia in Dynamic Bargaining Markets (2005)
This paper develops a search-theoretic model of the cross-sectional distribution of asset returns, abstracting from risk premia and focusing exclusively on liquidity. I derive a float-adjusted return...
A search-based theory of the on-the-run phenomenon (2005)
Vayanos, Dimitri, Weill, Pierre-Olivier
We propose a model in which assets with identical cash flows can trade at different prices. Agents enter into an infinite-horizon, steady-state market to establish long or short positions. Both the...
A search-based theory of the on-the-run phenomenon (2005)
Vayanos, Dimitri, Weill, Pierre-Olivier
We propose a model in which assets with identical cash flows can trade at different prices. Agents enter into an infinite-horizon, steady-state market to establish long or short positions. Both the...
A search-based theory of the on-the-run phenomenon (2005)
Vayanos, Dimitri, Weill, Pierre-Olivier
We propose a model in which assets with identical cash flows can trade at different prices. Agents enter into an infinite-horizon, steady-state market to establish long or short positions. Both the...
A Search-Based Theory of the On-the-Run Phenomenon (2005)
Vayanos, Dimitri, Weill, Pierre-Olivier
We propose a model in which assets with identical cash flows can trade at different prices.Agents enter into an infinite-horizon, steady-state market to establish long or short positions. Both the...
A Search-Based Theory of the On-the-Run Phenomenon (2005)
Vayanos, Dimitri, Weill, Pierre-Olivier
We propose a model in which assets with identical cash flows can trade at different prices.Agents enter into an infinite-horizon, steady-state market to establish long or short positions. Both the...
Leaning against the wind (2005)
During financial disruptions, market makers provide liquidity by absorbing external selling pressure. They buy when the pressure is large, accumulate inventories, and sell when the pressure...
Leaning against the wind (2005)
During financial disruptions, market makers provide liquidity by absorbing external selling pressure. They buy when the pressure is large, accumulate inventories, and sell when the pressure...
Liquidity Premia in Dynamic Bargaining Markets
This paper develops a search-theoretic model of the cross-sectional distribution of asset returns. It abstracts from risk premia and focuses exclusively on liquidity. A float-adjusted return model...
During financial disruptions, marketmakers provide liquidity by absorbing external selling pressure. They buy when the pressure is large, accumulate inventories, and sell when the pressure...
A Search-Based Theory of the On-the-Run Phenomenon
Pierre-Olivier Weill, Dimitri Vayanos
Treasury Market, Liquidity, Search
Learning from Private and Public Observation of Other's Actions
Amador, Manuel, Weill, Pierre-Olivier
We study how a continuum of agents learn about disseminated information by observing others’ actions. Every period each agent observes a public and private noisy signal centered around the...
Why Has House Price Dispersion Gone Up?
Stijn Van Nieuwerburgh, Pierre-Olivier Weill
We investigate the 30 year increase in the level and dispersion of house prices across U.S. metropolitan areas in a calibrated dynamic general equilibrium island model. The model is based on two main...
A Search-Based Theory of the On-the-Run Phenomenon
Pierre-Olivier Weill, Dimitri Vayanos
We propose a model in which assets with identical cash flows can trade at different prices. Infinitely-lived agents can establish long positions in a search spot market, or short positions by first...
A Search-Based Theory of the On-the-Run Phenomenon
Vayanos, Dimitri, Weill, Pierre-Olivier
We propose a model in which assets with identical cash flows can trade at different prices. Infinitely-lived agents can establish long positions in a search spot market, or short positions by first...
Crashes and recoveries in illiquid markets
Ricardo Lagos, Guillaume Rocheteau, Pierre-Olivier Weill
We study the dynamics of liquidity provision by dealers during an asset market crash, described as a temporary negative shock to investors’ aggregate asset demand. We consider a class of dynamic...
During financial disruptions, market makers provide liquidity by absorbing external selling pressure. They buy when the pressure is large, accumulate inventories, and sell when the pressure...
Manuel Amador, Pierre-Olivier Weill
We study how a continuum of agents learn about disseminated information in a dynamic beauty contest model when they do not observe aggregate variables, such as prices or quantities, but randomly...
Learning from Prices: Public Communication and Welfare
Manuel Amador, Pierre-Olivier Weill
We study the effect of releasing public information about productivity or monetary shocks when agents learn from nominal prices. While public releases have the benefit of providing new information,...
Liquidity premia in dynamic bargaining markets
This paper develops a search-theoretic model of the cross-sectional distribution of asset returns, abstracting from risk premia and focusing exclusively on liquidity. In contrast with much of the...
Crashes and Recoveries in Illiquid Markets
Ricardo Lagos, Guillaume Rocheteau, Pierre-Olivier Weill
We study the dynamics of liquidity provision by dealers during an asset market crash, described as a temporary negative shock to investors aggregate asset demand. We consider a class of dynamic...
A Search-Based Theory of the On-the-Run Phenomenon
DIMITRI VAYANOS, PIERRE-OLIVIER WEILL
We propose a model in which assets with identical cash flows can trade at different prices. Infinitely lived agents can establish long positions in a search spot market, or short positions by first...
A Search-Based Theory of the On-the-Run Phenomenon
Dimitri Vayanos, Pierre-Olivier Weill
We propose a model in which assets with identical cash flows can trade at different prices. Infinitely-lived agents can establish long positions in a search spot market, or short positions by first...