Search in Asset Markets: Market Structure, Liquidity, and Welfare

14 Pages Posted: 17 Oct 2007

See all articles by Ricardo Lagos

Ricardo Lagos

New York University (NYU) - Department of Economics

Guillaume Rocheteau

Federal Reserve Bank of Cleveland; National University of Singapore (NUS)

Date Written: January 2007

Abstract

This paper investigates how market structure affects efficiency and several dimensions of liquidity in an asset market. To this end, we generalize the search-theoretic model of financial intermediation of Darrell Duffie et al. (2005) to allow for entry of dealers and unrestricted asset holdings.

Keywords: bid-ask spread, execution delay, liquidity, search, trade volume

JEL Classification: G11, G12, G21

Suggested Citation

Lagos, Ricardo and Rocheteau, Guillaume, Search in Asset Markets: Market Structure, Liquidity, and Welfare (January 2007). FRB of Cleveland Working Paper No. 07-01. Available at SSRN: https://ssrn.com/abstract=1022055 or http://dx.doi.org/10.2139/ssrn.1022055

Ricardo Lagos

New York University (NYU) - Department of Economics ( email )

269 Mercer Street, 7th Floor
New York, NY 10011
United States
212-998-8937 (Phone)

Guillaume Rocheteau (Contact Author)

Federal Reserve Bank of Cleveland ( email )

PO Box 6387
Cleveland, OH 44101-1387
United States

National University of Singapore (NUS) ( email )

Bukit Timah Road 469 G
Singapore, 117591
Singapore

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