Details about Dimitri Vayanos
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Last updated 2023-01-21. Update your information in the RePEc Author Service.
Short-id: pva498
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Working Papers
2023
- The Greek economic crisis and the banks
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 
2022
- A Preferred-Habitat Model of Term Premia, Exchange Rates, and Monetary Policy Spillovers
NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2022)
- Asset management contracts and equilibrium prices
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (2)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (29)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (32)
See also Journal Article in Journal of Political Economy (2022)
2021
- A preferred-habitat model of the term structure of interest rates
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (51)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (443)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) View citations (424)
FMG Discussion Papers, Financial Markets Group (2009) View citations (295)
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2009) View citations (429)
See also Journal Article in Econometrica (2021)
- The Distribution of Investor Beliefs, Stock Ownership and Stock Returns
NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021)
2020
- Passive Investing and the Rise of Mega-Firms
NBER Working Papers, National Bureau of Economic Research, Inc
- Tracking Biased Weights: Asset Pricing Implications of Value-Weighted Indexing
CEPR Discussion Papers, C.E.P.R. Discussion Papers
2019
- Financial markets where traders neglect the informational content of prices
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (20)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (13)
NBER Working Papers, National Bureau of Economic Research, Inc (2015) View citations (8)
See also Journal Article in Journal of Finance (2019)
- Liquidity risk and the dynamics of arbitrage capital
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (19)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (11)
FMG Discussion Papers, Financial Markets Group (2014) View citations (9)
NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (12)
2014 Meeting Papers, Society for Economic Dynamics (2014) View citations (20)
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2014) View citations (12)
See also Journal Article in Journal of Finance (2019)
2018
- The dynamics of financially constrained arbitrage
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (23)
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2015) View citations (6)
NBER Working Papers, National Bureau of Economic Research, Inc (2015) View citations (6)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (6)
See also Journal Article in Journal of Finance (2018)
2017
- ESBies: safety in the tranches
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (59)
Also in Discussion Papers, Centre for Macroeconomics (CFM) (2016) View citations (9)
CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy (2016) View citations (20)
EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) (2016) View citations (10)
ESRB Working Paper Series, European Systemic Risk Board (2016) View citations (10)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) View citations (11)
CFS Working Paper Series, Center for Financial Studies (CFS) (2016) View citations (10)
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) View citations (10)
See also Journal Article in Economic Policy (2017)
- The Analytics of the Greek Crisis
Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley View citations (49)
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2017) View citations (31)
GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe, Hellenic Observatory, LSE (2016) View citations (51)
NBER Working Papers, National Bureau of Economic Research, Inc (2016) View citations (50)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) View citations (50)
See also Chapter (2016)
Journal Article in NBER Macroeconomics Annual (2017)
2016
- The Sovereign-Bank Diabolic Loop and ESBies
NBER Working Papers, National Bureau of Economic Research, Inc
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) View citations (1)
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) View citations (15)
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) View citations (4)
Working Papers, HAL (2016) View citations (1)
HEC Research Papers Series, HEC Paris (2016) View citations (4)
CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy (2016) View citations (1)
Discussion Papers, Centre for Macroeconomics (CFM) (2016) View citations (4)
EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) (2016)
CEP Discussion Papers, Centre for Economic Performance, LSE (2016) View citations (4)
See also Journal Article in American Economic Review (2016)
- The analytics of the Greek crisis: celebratory centenary issue
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (35)
2015
- Forward Guidance in the Yield Curve: Short Rates versus Bond Supply
NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (12)
See also Chapter (2016)
2013
- Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt
NBER Working Papers, National Bureau of Economic Research, Inc View citations (41)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) View citations (39)
FMG Discussion Papers, Financial Markets Group (2011)
Post-Print, HAL (2013) View citations (45)
See also Journal Article in Review of Financial Studies (2013)
2012
- Financially constrained arbitrage and cross-market contagion
2012 Meeting Papers, Society for Economic Dynamics View citations (2)
- Liquidity and Asset Returns under Asymmetric Information and Imperfect Competition
FMG Discussion Papers, Financial Markets Group View citations (34)
See also Journal Article in Review of Financial Studies (2012)
- Market Liquidity - Theory and Empirical Evidence
FMG Discussion Papers, Financial Markets Group View citations (6)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) View citations (22)
2011
- An institutional Theory of Momentum and Reversal
FMG Discussion Papers, Financial Markets Group View citations (1)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2008) View citations (18)
FMG Discussion Papers, Financial Markets Group (2008) View citations (18)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations (18)
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2011) View citations (18)
See also Journal Article in Review of Financial Studies (2013)
- Fund Flows and Asset Prices: A Baseline Model
FMG Discussion Papers, Financial Markets Group View citations (2)
- Preferred-Habitat Investors and the US Term Structure of Real Rates
FMG Discussion Papers, Financial Markets Group View citations (12)
Also in Bank of England working papers, Bank of England (2011) View citations (15)
2010
- Limits of Arbitrage: The State of the Theory
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (142)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (144)
FMG Discussion Papers, Financial Markets Group (2010) View citations (95)
- Price pressure in the government bond market
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (110)
See also Journal Article in American Economic Review (2010)
2009
- Liquidity and Asset Prices: A Unified Framework
NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) View citations (7)
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2009) View citations (4)
FMG Discussion Papers, Financial Markets Group (2009) View citations (8)
2008
- Bond Supply and Excess Bond Returns
FMG Discussion Papers, Financial Markets Group View citations (49)
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2008) View citations (43)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations (46)
NBER Working Papers, National Bureau of Economic Research, Inc (2008) View citations (59)
See also Journal Article in Review of Financial Studies (2014)
2007
- A Search-Based Theory of the On-the-Run Phenomenon
FMG Discussion Papers, Financial Markets Group View citations (13)
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2005) View citations (3)
2005 Meeting Papers, Society for Economic Dynamics (2005) View citations (8)
NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations (8)
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) View citations (12)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) View citations (19)
See also Journal Article in Journal of Finance (2008)
- The Gambler's and Hot-Hand Fallacies: Theory and Applications
CEPR Discussion Papers, C.E.P.R. Discussion Papers
Also in FMG Discussion Papers, Financial Markets Group (2007)
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007)
See also Journal Article in Review of Economic Studies (2010)
2005
- Strong-form efficiency with monopolistic insiders
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
See also Journal Article in Review of Financial Studies (2008)
- The Gambler's and Hot-Hand Fallacies In a Dynamic-Inference Model
Levine's Bibliography, UCLA Department of Economics View citations (2)
2004
- Flight to Quality, Flight to Liquidity, and the Pricing of Risk
NBER Working Papers, National Bureau of Economic Research, Inc View citations (281)
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004) View citations (277)
- Search and Endogenous Concentration of Liquidity in Asset Markets
Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (1)
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004)
See also Journal Article in Journal of Economic Theory (2007)
2003
- Persuasion bias, social influence, and uni-dimensional opinions
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (237)
Also in Research Papers, Stanford University, Graduate School of Business (2001) View citations (11)
See also Journal Article in The Quarterly Journal of Economics (2003)
- The decentralization of information processing in the presence of interactions
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (14)
See also Journal Article in Review of Economic Studies (2003)
2002
- Equilibrium and welfare in markets with financially constrained arbitrageurs
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (477)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) View citations (32)
See also Journal Article in Journal of Financial Economics (2002)
2001
- Strategic trading in a dynamic noisy market
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (41)
See also Journal Article in Journal of Finance (2001)
2000
- A Model of Persuasion - With Implications for Financial Markets
Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (4)
1999
- Equilibrium interest rate and liquidity premium with transaction costs
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (78)
See also Journal Article in Economic Theory (1999)
- Strategic trading and welfare in a dynamic market
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (63)
See also Journal Article in Review of Economic Studies (1999)
1998
- Transaction costs and asset prices: a dynamic equilibrium model
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (186)
See also Journal Article in Review of Financial Studies (1998)
1993
- A Dynamic Model of an Imperfectly Competitive Bid-Ask Market
CEPR Financial Markets Paper, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 33 Great Sutton Street, London EC1V 0DX. View citations (3)
- Decentralization and the management of competition
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (1)
Journal Articles
2022
- Asset Management Contracts and Equilibrium Prices
Journal of Political Economy, 2022, 130, (12), 3146 - 3201 View citations (2)
See also Working Paper (2022)
2021
- A Preferred‐Habitat Model of the Term Structure of Interest Rates
Econometrica, 2021, 89, (1), 77-112 View citations (50)
See also Working Paper (2021)
2019
- Financial Markets Where Traders Neglect the Informational Content of Prices
Journal of Finance, 2019, 74, (1), 371-399 View citations (23)
See also Working Paper (2019)
- Liquidity Risk and the Dynamics of Arbitrage Capital
Journal of Finance, 2019, 74, (3), 1139-1173 View citations (21)
See also Working Paper (2019)
2018
- The Dynamics of Financially Constrained Arbitrage
Journal of Finance, 2018, 73, (4), 1713-1750 View citations (24)
See also Working Paper (2018)
2017
- ESBies: safety in the tranches
Economic Policy, 2017, 32, (90), 175-219 View citations (58)
See also Working Paper (2017)
- The Analytics of the Greek Crisis
NBER Macroeconomics Annual, 2017, 31, (1), 1 - 81 View citations (31)
See also Working Paper (2017)
Chapter (2016)
2016
- The Sovereign-Bank Diabolic Loop and ESBies
American Economic Review, 2016, 106, (5), 508-12 View citations (103)
See also Working Paper (2016)
2014
- Bond Supply and Excess Bond Returns
Review of Financial Studies, 2014, 27, (3), 663-713 View citations (218)
See also Working Paper (2008)
- Introduction to financial economics
Journal of Economic Theory, 2014, 149, (C), 1-14 View citations (1)
2013
- An Institutional Theory of Momentum and Reversal
Review of Financial Studies, 2013, 26, (5), 1087-1145 View citations (129)
See also Working Paper (2011)
- Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt
Review of Financial Studies, 2013, 26, (8), 1914-1961 View citations (47)
See also Working Paper (2013)
2012
- Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition
Review of Financial Studies, 2012, 25, (5), 1339-1365 View citations (57)
See also Working Paper (2012)
- Quantitative Easing and Unconventional Monetary Policy – an Introduction
Economic Journal, 2012, 122, (564), F271-F288 View citations (195)
- Theories of Liquidity
Foundations and Trends(R) in Finance, 2012, 6, (4), 221-317 View citations (4)
2010
- A Model of Financial Market Liquidity Based on Intermediary Capital
Journal of the European Economic Association, 2010, 8, (2-3), 456-466 View citations (35)
- Limits of Arbitrage
Annual Review of Financial Economics, 2010, 2, (1), 251-275 View citations (191)
- Price Pressure in the Government Bond Market
American Economic Review, 2010, 100, (2), 585-90 View citations (117)
See also Working Paper (2010)
- The Gambler's and Hot-Hand Fallacies: Theory and Applications
Review of Economic Studies, 2010, 77, (2), 730-778 View citations (100)
See also Working Paper (2007)
2008
- A Search‐Based Theory of the On‐the‐Run Phenomenon
Journal of Finance, 2008, 63, (3), 1361-1398 View citations (162)
See also Working Paper (2007)
- Strong-Form Efficiency with Monopolistic Insiders
Review of Financial Studies, 2008, 21, (5), 2275-2306 View citations (16)
See also Working Paper (2005)
2007
- Search and endogenous concentration of liquidity in asset markets
Journal of Economic Theory, 2007, 136, (1), 66-104 View citations (123)
See also Working Paper (2004)
2003
- Corrigendum to "Equilibrium and welfare in markets with financially constrained arbitrageurs" [J. Financial Economics 66 (2002) 361]
Journal of Financial Economics, 2003, 67, (3), 531-531
- Persuasion Bias, Social Influence, and Unidimensional Opinions
The Quarterly Journal of Economics, 2003, 118, (3), 909-968 View citations (306)
See also Working Paper (2003)
- The Decentralization of Information Processing in the Presence of Interactions
Review of Economic Studies, 2003, 70, (3), 667-695 View citations (17)
See also Working Paper (2003)
2002
- Equilibrium and welfare in markets with financially constrained arbitrageurs
Journal of Financial Economics, 2002, 66, (2-3), 361-407 View citations (487)
See also Working Paper (2002)
2001
- Strategic Trading in a Dynamic Noisy Market
Journal of Finance, 2001, 56, (1), 131-171 View citations (41)
See also Working Paper (2001)
1999
- Equilibrium interest rate and liquidity premium with transaction costs
Economic Theory, 1999, 13, (3), 509-539 View citations (83)
See also Working Paper (1999)
- Strategic Trading and Welfare in a Dynamic Market
Review of Economic Studies, 1999, 66, (2), 219-254 View citations (65)
See also Working Paper (1999)
1998
- Transaction Costs and Asset Prices: A Dynamic Equilibrium Model
Review of Financial Studies, 1998, 11, (1), 1-58 View citations (193)
See also Working Paper (1998)
Chapters
2020
- A restart procedure to deal with COVID-19
Chapter 1 in COVID-19 in Developing Economies, 2020, vol. 1, pp 266-276 View citations (32)
2016
- Forward Guidance in the Yield Curve: Short Rates versus Bond Supply
Chapter 02 in Monetary Policy through Asset Markets: Lessons from Unconventional Measures and Implications for an Integrated World, 2016, vol. 24, pp 011-062 View citations (5)
See also Working Paper (2015)
- The Analytics of the Greek Crisis
A chapter in NBER Macroeconomics Annual 2016, Volume 31, 2016, pp 1-81 View citations (50)
See also Journal Article in NBER Macroeconomics Annual (2017)
Working Paper (2017)
2013
- Market Liquidity—Theory and Empirical Evidence *
Elsevier View citations (11)
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