Pierre-Olivier Weill

University of California, Los Angeles

Professor of Economics

Box 951477

Los Angeles, CA 90095-1477

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

31

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632

CROSSREF CITATIONS

871

Scholarly Papers (31)

Liquidity Shocks and Order Book Dynamics

Number of pages: 51 Posted: 04 Aug 2008 Last Revised: 30 Jun 2009
Bruno Biais and Pierre-Olivier Weill
Centre for Economic Policy Research (CEPR) and University of California, Los Angeles
Downloads 636 (52,873)

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Liquidity Shocks and Order Book Dynamics

Number of pages: 52 Posted: 01 Jun 2009 Last Revised: 04 Jan 2021
Bruno Biais and Pierre-Olivier Weill
Centre for Economic Policy Research (CEPR) and University of California, Los Angeles
Downloads 44 (520,809)

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2.
Downloads 557 ( 63,323)
Citation 37

Why Has House Price Dispersion Gone Up?

NYU Working Paper No. FIN-06-010
Number of pages: 75 Posted: 03 Nov 2008 Last Revised: 25 Feb 2009
Stijn Van Nieuwerburgh and Pierre-Olivier Weill
Columbia University Graduate School of Business and University of California, Los Angeles
Downloads 414 (89,885)

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Why Has House Price Dispersion Gone Up?

Number of pages: 53 Posted: 10 Aug 2006
Stijn Van Nieuwerburgh and Pierre-Olivier Weill
Columbia University Graduate School of Business and University of California, Los Angeles
Downloads 103 (328,999)

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house price, income inequality, supply regulation

Why Has House Price Dispersion Gone Up?

Number of pages: 76 Posted: 02 Oct 2006 Last Revised: 06 Oct 2021
Stijn Van Nieuwerburgh and Pierre-Olivier Weill
Columbia University Graduate School of Business and University of California, Los Angeles
Downloads 40 (540,741)
Citation 7

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3.
Downloads 270 (144,866)
Citation 127

A Search-Based Theory of the On-the-Run Phenomenon

AFA 2006 Boston Meetings Paper
Number of pages: 71 Posted: 11 Mar 2005
Pierre-Olivier Weill and Dimitri Vayanos
University of California, Los Angeles and London School of Economics
Downloads 190 (202,408)
Citation 2

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On-the-run bonds, liquidity, specialness, search, arbitrage

A Search-Based Theory of the On-the-Run Phenomenon

NYU Working Paper No. FIN-05-016
Number of pages: 72 Posted: 03 Nov 2008
Dimitri Vayanos and Pierre-Olivier Weill
London School of Economics and University of California, Los Angeles
Downloads 44 (520,809)

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A Search-Based Theory of the On-the-Run Phenomenon

Number of pages: 65 Posted: 06 Dec 2006 Last Revised: 14 Feb 2021
Dimitri Vayanos and Pierre-Olivier Weill
London School of Economics and University of California, Los Angeles
Downloads 22 (654,821)
Citation 27

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A Search-Based Theory of the On-the-Run Phenomenon

Number of pages: 67 Posted: 05 Jan 2007
Pierre-Olivier Weill and Dimitri Vayanos
University of California, Los Angeles and London School of Economics
Downloads 14 (718,823)
Citation 5
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Search, liquidity, asset pricing, on-the-run bonds

4.
Downloads 206 (188,115)
Citation 25

Crises and Liquidity in Over-the-Counter Markets

AFA 2011 Denver Meetings Paper
Number of pages: 45 Posted: 06 Oct 2009 Last Revised: 17 Mar 2010
Ricardo Lagos, Guillaume Rocheteau and Pierre-Olivier Weill
New York University (NYU) - Department of Economics, Federal Reserve Bank of Cleveland and University of California, Los Angeles
Downloads 188 (204,323)
Citation 17

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Crises and Liquidity in Over-the-Counter Markets

Number of pages: 46 Posted: 13 Oct 2009 Last Revised: 15 Aug 2021
Ricardo Lagos, Gulasekaran Rajaguru and Pierre-Olivier Weill
New York University (NYU) - Department of Economics, Bond University and University of California, Los Angeles
Downloads 18 (686,114)
Citation 10

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5.
Downloads 157 (238,558)
Citation 91

Leaning Against the Wind

Number of pages: 67 Posted: 21 Feb 2005
Pierre-Olivier Weill
University of California, Los Angeles
Downloads 102 (331,204)
Citation 8

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Marketmaking capital, marketmaker inventory, management, financial crisis

Leaning Against the Wind

NYU Working Paper No. FIN-05-017
Number of pages: 67 Posted: 03 Nov 2008
Pierre-Olivier Weill
University of California, Los Angeles
Downloads 55 (472,153)
Citation 16

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Market making capital, market maker inventory management

A Theory of Participation in OTC and Centralized Markets

Johns Hopkins Carey Business School Research Paper No. 19-07
Number of pages: 105 Posted: 13 Jun 2019 Last Revised: 03 Sep 2021
Jérôme Dugast, Semih Uslu and Pierre-Olivier Weill
Université Paris-Dauphine, PSL Research University, Johns Hopkins Carey Business School and University of California, Los Angeles
Downloads 131 (276,529)

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OTC Markets, Heterogeneity, Intermediation, Composition Externalities, Government Intervention

A Theory of Participation in OTC and Centralized Markets

Number of pages: 45 Posted: 05 Jun 2019 Last Revised: 26 Sep 2021
Jérôme Dugast, Semih Uslu and Pierre-Olivier Weill
Université Paris-Dauphine, PSL Research University, Johns Hopkins Carey Business School and University of California, Los Angeles
Downloads 5 (795,888)
Citation 1

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7.
Downloads 130 (276,995)
Citation 54

Liquidity Premia in Dynamic Bargaining Markets

Number of pages: 48 Posted: 21 Feb 2005
Pierre-Olivier Weill
University of California, Los Angeles
Downloads 87 (367,071)
Citation 46

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Liquidity premia, Search

Liquidity Premia in Dynamic Bargaining Markets

NYU Working Paper No. FIN-05-018
Number of pages: 37 Posted: 03 Nov 2008
Pierre-Olivier Weill
University of California, Los Angeles
Downloads 43 (525,589)
Citation 19

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Liquidity premia, Search

8.
Downloads 129 (278,663)
Citation 3

Corporate Bond Liquidity During the Covid-19 Crisis

Number of pages: 81 Posted: 15 Jun 2020 Last Revised: 19 Nov 2021
University of Illinois at Urbana-Champaign - Department of Finance, Federal Reserve Banks - Federal Reserve Bank of Philadelphia, University of California, Los Angeles (UCLA) - Department of Economics, Tsinghua University - Tsinghua University School of Economics and Management, University of California, Los Angeles and University of California, Los Angeles (UCLA)
Downloads 128 (281,360)

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Corporate Bond Liquidity During the Covid-19 Crisis

Number of pages: 84 Posted: 12 Sep 2020 Last Revised: 22 Sep 2021
University of Illinois at Urbana-Champaign - Department of Finance, Federal Reserve Banks - Federal Reserve Bank of Philadelphia, University of California, Los Angeles (UCLA) - Department of Economics, Tsinghua University - School of Economics & Management, University of California, Los Angeles and affiliation not provided to SSRN
Downloads 1 (837,300)
Citation 3
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corporate bonds, COVID-19, intermediation, liquidity, SMCCF

9.
Downloads 123 (288,742)
Citation 18

Frictional Intermediation in Over-the-Counter Markets

Swiss Finance Institute Research Paper No. 18-59
Number of pages: 81 Posted: 27 Aug 2018 Last Revised: 18 Jan 2019
Julien Hugonnier, Benjamin R. Lester and Pierre-Olivier Weill
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of California, Los Angeles
Downloads 67 (427,394)
Citation 1

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Over-the-Counter Markets, Search Frictions, Bargaining, Heterogeneous Agents, Intermediation

Frictional Intermediation in Over-the-Counter Markets

Number of pages: 80 Posted: 06 Feb 2019 Last Revised: 29 Apr 2020
Julien Hugonnier, Benjamin R. Lester and Pierre-Olivier Weill
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of California, Los Angeles
Downloads 46 (511,337)
Citation 1

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Over-the-counter markets, search frictions, bargaining, heterogeneous agents, intermediation

Frictional Intermediation in Over-the-Counter Markets

Number of pages: 80 Posted: 17 Sep 2018 Last Revised: 10 Sep 2021
Julien Hugonnier, Benjamin R. Lester and Pierre-Olivier Weill
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of California, Los Angeles
Downloads 8 (770,222)

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Frictional Intermediation in Over-the-Counter Markets

Number of pages: 82 Posted: 17 Sep 2018
Julien Hugonnier, Benjamin R. Lester and Pierre-Olivier Weill
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of California, Los Angeles
Downloads 2 (823,997)
Citation 13
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Bargaining, Heterogeneous Agents, intermediation, Over-the-counter markets, search frictions

10.
Downloads 123 (288,742)
Citation 3

Crashes and Recoveries in Illiquid Markets

Number of pages: 71 Posted: 19 Oct 2007
Ricardo Lagos, Guillaume Rocheteau and Pierre-Olivier Weill
New York University (NYU) - Department of Economics, Federal Reserve Bank of Cleveland and University of California, Los Angeles
Downloads 100 (335,572)
Citation 1

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liquidity, asset inventories, execution delays, search, bargaining

Crashes and Recoveries in Illiquid Markets

Number of pages: 69 Posted: 22 Jun 2008 Last Revised: 01 Aug 2021
Ricardo Lagos, Guillaume Rocheteau and Pierre-Olivier Weill
New York University (NYU) - Department of Economics, Federal Reserve Bank of Cleveland and University of California, Los Angeles
Downloads 23 (647,162)
Citation 2

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Trading and Liquidity with Limited Cognition

Number of pages: 49 Posted: 15 Dec 2010
Bruno Biais, Johan Hombert and Pierre-Olivier Weill
Centre for Economic Policy Research (CEPR), HEC Paris - Finance Department and University of California, Los Angeles
Downloads 97 (342,386)

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liquidity shock, limit-orders, asset pricing and liquidity, algorithmic trading, limited cognition, sticky plans

Trading and Liquidity with Limited Cognition

Number of pages: 50 Posted: 18 Dec 2010 Last Revised: 09 Jun 2021
Bruno Biais, Johan Hombert and Pierre-Olivier Weill
Centre for Economic Policy Research (CEPR), HEC Paris - Finance Department and University of California, Los Angeles
Downloads 23 (647,162)

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12.
Downloads 106 (320,591)
Citation 10

Heterogeneity in Decentralized Asset Markets

Swiss Finance Institute Research Paper No. 14-67
Number of pages: 86 Posted: 05 Dec 2014 Last Revised: 05 Apr 2018
Julien Hugonnier, Benjamin R. Lester and Pierre-Olivier Weill
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of California, Los Angeles
Downloads 57 (464,311)

Abstract:

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search frictions, bargaining, continuum of types, price dispersion, intermediation chains.

Heterogeneity in Decentralized Asset Markets

Number of pages: 73 Posted: 29 May 2015
Julien Hugonnier, Benjamin R. Lester and Pierre-Olivier Weill
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of California, Los Angeles
Downloads 36 (562,277)
Citation 2

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Search Frictions, Bargaining, Continuum of Types, Price Dispersion

Heterogeneity in Decentralized Asset Markets

Number of pages: 85 Posted: 15 Dec 2014 Last Revised: 09 Sep 2021
Julien Hugonnier, Benjamin R. Lester and Pierre-Olivier Weill
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of California, Los Angeles
Downloads 13 (727,292)
Citation 1

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Heterogeneity in Decentralized Asset Markets

Number of pages: 58 Posted: 07 Oct 2019
Julien Hugonnier, Benjamin R. Lester and Pierre-Olivier Weill
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of California, Los Angeles
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Bargaining, Heterogeneity, price dispersion, search frictions

Heterogeneity in Decentralized Asset Markets

Number of pages: 58 Posted: 14 Jan 2020
Julien Hugonnier, Benjamin R. Lester and Pierre-Olivier Weill
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of California, Los Angeles
Downloads 0
Citation 5
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Bargaining, Heterogeneity, price dispersion, search frictions

Heterogeneity in Decentralized Asset Markets

Posted: 27 Nov 2019
Julien Hugonnier, Benjamin R. Lester and Pierre-Olivier Weill
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of California, Los Angeles

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search frictions, bargaining, heterogeneity, price dispersion

Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing

HEC Paris Research Paper No. FIN-2017-1236
Number of pages: 72 Posted: 24 Oct 2017 Last Revised: 29 Nov 2017
Johan Hombert, Bruno Biais and Pierre-Olivier Weill
HEC Paris - Finance Department, Centre for Economic Policy Research (CEPR) and University of California, Los Angeles
Downloads 63 (441,555)

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Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing

Number of pages: 62 Posted: 06 Nov 2017 Last Revised: 19 Nov 2021
Bruno Biais, Johan Hombert and Pierre-Olivier Weill
University of Toulouse 1 - Toulouse School of Economics (TSE), HEC Paris - Finance Department and University of California, Los Angeles
Downloads 14 (718,823)
Citation 1

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14.

A Conference on Liquidity in Frictional Markets

FRB of Cleveland Policy Discussion Paper No. 26
Number of pages: 10 Posted: 21 May 2009
Federal Reserve Bank of Cleveland, Federal Reserve Bank of Cleveland, University of California, Los Angeles and University of Wisconsin - Madison - Department of Finance, Investment and Banking
Downloads 73 (403,004)

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Liquidity, Frictional Markets, Walrasian market clearing alternatives, search, game theory

15.

Liquidity in Frictional Asset Markets

Number of pages: 29 Posted: 21 Jan 2011
Guillaume Rocheteau and Pierre-Olivier Weill
Federal Reserve Bank of Cleveland and University of California, Los Angeles
Downloads 67 (422,054)
Citation 9

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16.

Measuring the Financial Soundness of US Firms, 1926-2012

Research In Economics , Vol. 71, No. 1, 2017
Number of pages: 51 Posted: 07 Oct 2018
Andrew Atkeson, Andrea L. Eisfeldt and Pierre-Olivier Weill
University of California, Los Angeles (UCLA) - Department of Economics, UCLA Anderson School of Management and University of California, Los Angeles
Downloads 61 (442,580)
Citation 8

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Distance to Default, Volatility, Leverage, Financial Crises

17.
Downloads 48 (493,137)
Citation 58

Entry and Exit in OTC Derivatives Markets

Econometrica, Vol. 83, No. 6, 2015
Number of pages: 105 Posted: 07 Oct 2018
Andrea L. Eisfeldt, Andrew Atkeson and Pierre-Olivier Weill
UCLA Anderson School of Management, University of California, Los Angeles (UCLA) - Department of Economics and University of California, Los Angeles
Downloads 29 (604,346)
Citation 11

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OTC Markets, Derivatives, Search, Entry and Exit

Entry and Exit in OTC Derivatives Markets

Number of pages: 61 Posted: 03 Sep 2014 Last Revised: 15 Oct 2021
Andrew Atkeson, Andrea L. Eisfeldt and Pierre-Olivier Weill
University of California, Los Angeles (UCLA) - Department of Economics, UCLA Anderson School of Management and University of California, Los Angeles
Downloads 19 (678,206)
Citation 13

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Aggregate Implications of Micro Asset Market Segmentation

Number of pages: 40 Posted: 15 Aug 2009
Chris Edmond and Pierre-Olivier Weill
New York University and University of California, Los Angeles
Downloads 32 (585,458)

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Asset pricing, market segmentation, idiosyncratic risk.

Aggregate Implications of Micro Asset Market Segmentation

Number of pages: 41 Posted: 18 Aug 2009 Last Revised: 06 Sep 2021
Chris Edmond and Pierre-Olivier Weill
New York University and University of California, Los Angeles
Downloads 12 (735,849)

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19.
Downloads 43 (515,311)
Citation 32

Competing for Order Flow in OTC Markets

Number of pages: 50 Posted: 20 Mar 2014
Benjamin R. Lester, Guillaume Rocheteau and Pierre-Olivier Weill
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Federal Reserve Bank of Cleveland and University of California, Los Angeles
Downloads 31 (591,533)
Citation 2

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Over-the-counter markets, OTC Markets, Order Flow

Competing for Order Flow in OTC Markets

Number of pages: 53 Posted: 22 Oct 2014 Last Revised: 24 Oct 2021
Benjamin R. Lester, Guillaume Rocheteau and Pierre-Olivier Weill
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Federal Reserve Bank of Cleveland and University of California, Los Angeles
Downloads 12 (735,849)
Citation 11

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20.
Downloads 42 (519,966)
Citation 44

Liquidity and the Threat of Fraudulent Assets

Number of pages: 92 Posted: 04 Oct 2011
Yiting Li, Guillaume Rocheteau and Pierre-Olivier Weill
National Taiwan University, Federal Reserve Bank of Cleveland and University of California, Los Angeles
Downloads 30 (597,789)
Citation 12

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search, payments, collateral, fraud, liquidity premia

Liquidity and the Threat of Fraudulent Assets

Number of pages: 36 Posted: 14 Oct 2011 Last Revised: 27 Oct 2021
Yiting Li, Guillaume Rocheteau and Pierre-Olivier Weill
National Taiwan University, Federal Reserve Bank of Cleveland and University of California, Los Angeles
Downloads 12 (735,849)

Abstract:

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21.
Downloads 32 (571,167)
Citation 3

The Market for OTC Derivatives

Number of pages: 71 Posted: 22 Mar 2013 Last Revised: 05 Sep 2021
Andrew Atkeson, Andrea L. Eisfeldt and Pierre-Olivier Weill
University of California, Los Angeles (UCLA) - Department of Economics, UCLA Anderson School of Management and University of California, Los Angeles
Downloads 30 (597,789)

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The Market for OTC Derivatives

Number of pages: 73 Posted: 03 Apr 2013
Andrew Atkeson, Andrea L. Eisfeldt and Pierre-Olivier Weill
University of California, Los Angeles (UCLA) - Department of Economics, UCLA Anderson School of Management and University of California, Los Angeles
Downloads 2 (823,997)
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credit default swaps, dealers, OTC markets

22.

Measuring the Financial Soundness of U.S. Firms, 1926-2012

Number of pages: 49 Posted: 12 Jul 2013 Last Revised: 23 Jun 2021
Andrew Atkeson, Andrea L. Eisfeldt and Pierre-Olivier Weill
University of California, Los Angeles (UCLA) - Department of Economics, UCLA Anderson School of Management and University of California, Los Angeles
Downloads 27 (600,893)

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23.

Learning from Prices: Public Communication and Welfare

Number of pages: 50 Posted: 27 Aug 2008 Last Revised: 14 Jun 2021
Manuel Amador and Pierre-Olivier Weill
affiliation not provided to SSRN and University of California, Los Angeles
Downloads 18 (663,338)
Citation 19

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24.

Government Guarantees and the Valuation of American Banks

Number of pages: 84 Posted: 18 Jun 2018 Last Revised: 26 Jun 2021
University of California, Los Angeles (UCLA) - Department of Economics, Swedish House of Finance, UCLA Anderson School of Management and University of California, Los Angeles
Downloads 16 (677,904)
Citation 5

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A Tractable Model of Monetary Exchange with Ex-Post Heterogeneity

Posted: 01 May 2017 Last Revised: 24 Oct 2017
Guillaume Rocheteau, Pierre-Olivier Weill and Russell Wong
Federal Reserve Bank of Cleveland, University of California, Los Angeles and Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 10 (752,949)

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money, inflation, risk sharing, liquidity traps

A Tractable Model of Monetary Exchange with Ex-Post Heterogeneity

Number of pages: 67 Posted: 18 May 2015 Last Revised: 16 May 2021
Guillaume Rocheteau, Pierre-Olivier Weill and Tsz-Nga Wong
Federal Reserve Bank of Cleveland, University of California, Los Angeles and Washington University in St Louis
Downloads 4 (804,346)
Citation 5

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26.

An Heterogeneous-Agent New-Monetarist Model with an Application to Unemployment

Number of pages: 57 Posted: 05 Nov 2018 Last Revised: 04 Jun 2021
Guillaume Rocheteau, Pierre-Olivier Weill and Tsz-Nga Wong
Federal Reserve Bank of Cleveland, University of California, Los Angeles and Washington University in St Louis
Downloads 10 (724,453)
Citation 1

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27.
Downloads 6 (756,306)
Citation 3

The Search Theory of OTC Markets

Number of pages: 53 Posted: 15 Jun 2020 Last Revised: 18 Nov 2021
Pierre-Olivier Weill
University of California, Los Angeles
Downloads 6 (787,479)
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The Search Theory of OTC Markets

Number of pages: 55 Posted: 16 Jun 2020
Pierre-Olivier Weill
University of California, Los Angeles
Downloads 0
Citation 3
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Asset Pricing, OTC markets, search frictions

28.

Working Through the Distribution: Money in the Short and Long Run

Number of pages: 52 Posted: 07 Dec 2015 Last Revised: 05 Jul 2021
Guillaume Rocheteau, Pierre-Olivier Weill and Tsz-Nga Wong
Federal Reserve Bank of Cleveland, University of California, Los Angeles and Washington University in St Louis
Downloads 4 (771,686)
Citation 1

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29.

Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing

Number of pages: 65 Posted: 14 Jan 2020 Last Revised: 22 Sep 2021
Bruno Biais, Johan Hombert and Pierre-Olivier Weill
University of Toulouse 1 - Toulouse School of Economics (TSE), HEC Paris - Finance Department and University of California, Los Angeles
Downloads 1 (800,643)
Citation 1
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Asset Pricing, Collateral constraints, Endogenously Incomplete, General Equilibrium

30.

A Theory of Participation in OTC and Centralized Markets

Number of pages: 109 Posted: 14 Jan 2020 Last Revised: 22 Sep 2021
Jérôme Dugast, Semih Uslu and Pierre-Olivier Weill
Université Paris-Dauphine, PSL Research University, Johns Hopkins Carey Business School and University of California, Los Angeles
Downloads 1 (800,643)
Citation 1
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31.

The Search Theory of Over-the-Counter Markets

Posted: 14 Aug 2020
Pierre-Olivier Weill
University of California, Los Angeles

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