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

  • University of California, Los Angeles

SCHOLARLY PAPERS

28

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878

Scholarly Papers (28)

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1.

Liquidity Shocks and Order Book Dynamics

Downloads 660 ( 40,361)

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 623 (43,031)
Citation 1

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Liquidity Shocks and Order Book Dynamics

NBER Working Paper No. w15009
Number of pages: 52 Posted: 01 Jun 2009 Last Revised: 07 Jul 2010
Bruno Biais and Pierre-Olivier Weill
Centre for Economic Policy Research (CEPR) and University of California, Los Angeles
Downloads 37 (463,527)

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2.

Why Has House Price Dispersion Gone Up?

Downloads 521 ( 54,939)
Citation 33

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 390 (77,361)

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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 101 (275,335)

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house price, income inequality, supply regulation

Why Has House Price Dispersion Gone Up?

NBER Working Paper No. w12538
Number of pages: 76 Posted: 02 Oct 2006 Last Revised: 15 Jan 2007
Stijn Van Nieuwerburgh and Pierre-Olivier Weill
Columbia University Graduate School of Business and University of California, Los Angeles
Downloads 30 (498,316)
Citation 2

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3.

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

Downloads 256 (124,296)
Citation 103

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 179 (174,727)
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 42 (441,505)

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

NBER Working Paper No. w12670
Number of pages: 65 Posted: 06 Dec 2006 Last Revised: 16 Aug 2010
Dimitri Vayanos and Pierre-Olivier Weill
London School of Economics and University of California, Los Angeles
Downloads 21 (553,834)
Citation 13

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

CEPR Discussion Paper No. 5965
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 (601,767)
Citation 4
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Search, liquidity, asset pricing, on-the-run bonds

4.

Crises and Liquidity in Over-the-Counter Markets

Downloads 199 (158,678)
Citation 17

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 182 (172,139)
Citation 17

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Crises and Liquidity in Over-the-Counter Markets

NBER Working Paper No. w15414
Number of pages: 46 Posted: 13 Oct 2009 Last Revised: 15 Aug 2010
Ricardo Lagos, Gulasekaran Rajaguru and Pierre-Olivier Weill
New York University (NYU) - Department of Economics, Bond University and University of California, Los Angeles
Downloads 17 (580,940)

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5.

Leaning Against the Wind

Downloads 144 (210,257)
Citation 74

Leaning Against the Wind

Number of pages: 67 Posted: 21 Feb 2005
Pierre-Olivier Weill
University of California, Los Angeles
Downloads 91 (294,993)
Citation 7

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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 53 (399,212)

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Market making capital, market maker inventory management

6.

Liquidity Premia in Dynamic Bargaining Markets

Downloads 124 (236,373)
Citation 42

Liquidity Premia in Dynamic Bargaining Markets

Number of pages: 48 Posted: 21 Feb 2005
Pierre-Olivier Weill
University of California, Los Angeles
Downloads 82 (315,160)
Citation 45

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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 42 (441,505)
Citation 8

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Liquidity premia, Search

7.

Crashes and Recoveries in Illiquid Markets

Downloads 120 (242,186)
Citation 1

Crashes and Recoveries in Illiquid Markets

FRB of Cleveland Working Paper No. 07-08
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 99 (279,203)
Citation 1

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liquidity, asset inventories, execution delays, search, bargaining

Crashes and Recoveries in Illiquid Markets

NBER Working Paper No. w14119
Number of pages: 69 Posted: 22 Jun 2008 Last Revised: 01 Aug 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 21 (553,834)

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8.

Trading and Liquidity with Limited Cognition

Downloads 112 (254,565)

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 95 (286,871)

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

Trading and Liquidity with Limited Cognition

NBER Working Paper No. w16628
Number of pages: 50 Posted: 18 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 17 (580,940)

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9.

Heterogeneity in Decentralized Asset Markets

Downloads 83 (310,062)
Citation 9

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 50 (409,984)
Citation 1

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

Heterogeneity in Decentralized Asset Markets

FRB of Philadelphia Working Paper No. 15-22
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 30 (498,316)
Citation 1

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Search Frictions, Bargaining, Continuum of Types, Price Dispersion

Heterogeneity in Decentralized Asset Markets

NBER Working Paper No. w20746
Number of pages: 85 Posted: 15 Dec 2014
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 3 (684,123)
Citation 1

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Heterogeneity in Decentralized Asset Markets

CEPR Discussion Paper No. DP14014
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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Citation 2
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Bargaining, Heterogeneity, price dispersion, search frictions

Heterogeneity in Decentralized Asset Markets

CEPR Discussion Paper No. DP14274
Number of pages: 58 Posted: 14 Jan 2020
Julien Hugonnier, Benjamin 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

FRB of Philadelphia Working Paper No. 19-44
Posted: 27 Nov 2019
Julien Hugonnier, Benjamin 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

10.

Frictional Intermediation in Over-the-Counter Markets

Downloads 79 (319,240)
Citation 4

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 61 (372,484)

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

Frictional Intermediation in Over-the-Counter Markets

FRB of Philadelphia Working Paper No. 19-10
Number of pages: 80 Posted: 06 Feb 2019 Last Revised: 21 Feb 2019
Julien Hugonnier, Benjamin 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 (608,859)

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

Frictional Intermediation in Over-the-Counter Markets

NBER Working Paper No. w24956
Number of pages: 80 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 3 (684,123)
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Frictional Intermediation in Over-the-Counter Markets

CEPR Discussion Paper No. DP13126
Number of pages: 82 Posted: 17 Sep 2018
Julien Hugonnier, Benjamin 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 (694,935)
Citation 3
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Bargaining, Heterogeneous Agents, intermediation, Over-the-counter markets, search frictions

11.

A Conference on Liquidity in Frictional Markets

FRB of Cleveland Policy Discussion Paper No. 26
Number of pages: 10 Posted: 21 May 2009
Joseph G. Haubrich, Guillaume Rocheteau, Pierre-Olivier Weill and Randall Wright
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 70 (341,929)

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

12.

Liquidity in Frictional Asset Markets

FRB of Cleveland Working Paper No. 11-05
Number of pages: 29 Posted: 21 Jan 2011
Guillaume Rocheteau and Pierre-Olivier Weill
University of California, Irvine and University of California, Los Angeles
Downloads 63 (361,431)
Citation 6

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13.

A Theory of Participation in OTC and Centralized Markets

Downloads 59 (373,482)

A Theory of Participation in OTC and Centralized Markets

Johns Hopkins Carey Business School Research Paper No. 19-07
Number of pages: 67 Posted: 13 Jun 2019 Last Revised: 02 Oct 2019
Jérôme Dugast, Semih Uslu and Pierre-Olivier Weill
Université Paris Dauphine - Department of Finance, Johns Hopkins Carey Business School and University of California, Los Angeles
Downloads 58 (382,069)

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

A Theory of Participation in OTC and Centralized Markets

NBER Working Paper No. w25887
Number of pages: 41 Posted: 05 Jun 2019
Jérôme Dugast, Semih Uslu and Pierre-Olivier Weill
Université Paris Dauphine - Department of Finance, Johns Hopkins Carey Business School and University of California, Los Angeles
Downloads 1 (708,726)
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14.

Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing

Downloads 59 (373,482)
Citation 2

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 50 (409,984)

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Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing

NBER Working Paper No. w23986
Number of pages: 73 Posted: 06 Nov 2017
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 9 (637,911)
Citation 2

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15.

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 48 (410,049)
Citation 4

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Distance to Default, Volatility, Leverage, Financial Crises

16.

Liquidity and the Threat of Fraudulent Assets

Downloads 41 (436,632)
Citation 31

Liquidity and the Threat of Fraudulent Assets

FRB of Cleveland Working Paper No. 11-24
Number of pages: 92 Posted: 04 Oct 2011
Yiting Li, Guillaume Rocheteau and Pierre-Olivier Weill
National Taiwan University, University of California, Irvine and University of California, Los Angeles
Downloads 29 (503,741)
Citation 4

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search, payments, collateral, fraud, liquidity premia

Liquidity and the Threat of Fraudulent Assets

NBER Working Paper No. w17500
Number of pages: 36 Posted: 14 Oct 2011
Yiting Li, Guillaume Rocheteau and Pierre-Olivier Weill
National Taiwan University, University of California, Irvine and University of California, Los Angeles
Downloads 12 (616,226)

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17.

Aggregate Implications of Micro Asset Market Segmentation

Downloads 41 (436,632)
Citation 1

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 30 (498,316)
Citation 1

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Asset pricing, market segmentation, idiosyncratic risk.

Aggregate Implications of Micro Asset Market Segmentation

NBER Working Paper No. w15254
Number of pages: 41 Posted: 18 Aug 2009 Last Revised: 07 Sep 2010
Chris Edmond and Pierre-Olivier Weill
New York University and University of California, Los Angeles
Downloads 11 (623,456)

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18.

Competing for Order Flow in OTC Markets

Downloads 38 (449,147)
Citation 23

Competing for Order Flow in OTC Markets

FRB of Philadelphia Working Paper No. 14-9
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, University of California, Irvine and University of California, Los Angeles
Downloads 29 (503,741)
Citation 3

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

Competing for Order Flow in OTC Markets

NBER Working Paper No. w20608
Number of pages: 53 Posted: 22 Oct 2014 Last Revised: 29 Oct 2014
Benjamin R. Lester, Guillaume Rocheteau and Pierre-Olivier Weill
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, University of California, Irvine and University of California, Los Angeles
Downloads 9 (637,911)
Citation 3

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19.

The Market for OTC Derivatives

Downloads 25 (512,156)
Citation 3

The Market for OTC Derivatives

NBER Working Paper No. w18912
Number of pages: 71 Posted: 22 Mar 2013 Last Revised: 14 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 23 (540,661)

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The Market for OTC Derivatives

CEPR Discussion Paper No. DP9403
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 (694,935)
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credit default swaps, dealers, OTC markets

20.

Entry and Exit in OTC Derivatives Markets

Downloads 23 (523,827)
Citation 43

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 12 (616,226)
Citation 3

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OTC Markets, Derivatives, Search, Entry and Exit

Entry and Exit in OTC Derivatives Markets

NBER Working Paper No. w20416
Number of pages: 61 Posted: 03 Sep 2014 Last Revised: 15 Sep 2014
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 11 (623,456)
Citation 5

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21.

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

NBER Working Paper No. w19204
Number of pages: 49 Posted: 12 Jul 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 23 (523,827)

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22.

Learning from Prices: Public Communication and Welfare

NBER Working Paper No. w14255
Number of pages: 50 Posted: 27 Aug 2008 Last Revised: 05 Sep 2008
Manuel Amador and Pierre-Olivier Weill
affiliation not provided to SSRN and University of California, Los Angeles
Downloads 17 (560,262)
Citation 9

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23.

A Tractable Model of Monetary Exchange with Ex-Post Heterogeneity

Downloads 14 (579,033)
Citation 4

A Tractable Model of Monetary Exchange with Ex-Post Heterogeneity

FRB Richmond Working Paper No. 17-6
Posted: 01 May 2017 Last Revised: 24 Oct 2017
Guillaume Rocheteau, Pierre-Olivier Weill and Russell Wong
University of California, Irvine, University of California, Los Angeles and Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 10 (630,632)

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money, inflation, risk sharing, liquidity traps

A Tractable Model of Monetary Exchange with Ex-Post Heterogeneity

NBER Working Paper No. w21179
Number of pages: 67 Posted: 18 May 2015 Last Revised: 25 May 2015
Guillaume Rocheteau, Pierre-Olivier Weill and Tsz-Nga Wong
University of California, Irvine, University of California, Los Angeles and Washington University in St Louis
Downloads 4 (675,364)
Citation 1

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24.

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

NBER Working Paper No. w25220
Number of pages: 57 Posted: 05 Nov 2018
Guillaume Rocheteau, Pierre-Olivier Weill and Tsz-Nga Wong
University of California, Irvine, University of California, Los Angeles and Washington University in St Louis
Downloads 6 (632,118)
Citation 1
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25.

Government Guarantees and the Valuation of American Banks

NBER Working Paper No. w24706
Number of pages: 84 Posted: 18 Jun 2018
Andrew Atkeson, Adrien d'Avernas, Andrea L. Eisfeldt and Pierre-Olivier Weill
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 5 (639,048)
Citation 2

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26.

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

NBER Working Paper No. w21779
Number of pages: 52 Posted: 07 Dec 2015
Guillaume Rocheteau, Pierre-Olivier Weill and Tsz-Nga Wong
University of California, Irvine, University of California, Los Angeles and Washington University in St Louis
Downloads 3 (654,050)
Citation 1

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27.

Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing

CEPR Discussion Paper No. DP14257
Number of pages: 73 Posted: 14 Jan 2020
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 (675,527)
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Asset Pricing, Collateral constraints, Endogenously Incomplete, General Equilibrium

28.

A Theory of Participation in OTC and Centralized Markets

CEPR Discussion Paper No. DP14258
Number of pages: 69 Posted: 14 Jan 2020
Jerome 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 (675,527)
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