Séminaire
Asset Markets with Heterogeneous Information
Pablo Kurlat (University of Stanford)
Paul Woolley Research Initiative Seminar
IDEI, 1 juin 2015, 12h30–14h00, salle MF 323
Référence
Pablo Kurlat (University of Stanford), « Asset Markets with Heterogeneous Information », Paul Woolley Research Initiative Seminar, IDEI, 1 juin 2015, 12h30–14h00, salle MF 323.
Résumé
This paper studies competitive equilibria of economies where assets are heterogeneous and traders have heterogeneous information about them. Markets are defined by a price and a procedure for clearing trades and any asset can in principle be traded in any market. Buyers can use their information to impose acceptance rules which specify which assets they are willing to trade in each market. The set of markets where trade takes place is derived endogenously. The model can be applied to find conditions under which these economies feature fire-sales, contagion and flights to quality.
Partenaire de recherche
Paul Woolley Research Initiative