Details about Dimitri Vayanos
Access statistics for papers by Dimitri Vayanos.
Last updated 2024-12-06. Update your information in the RePEc Author Service.
Short-id: pva498
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Working Papers
2024
- Supply and demand and the term structure of interest rates
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2023)
- The Impact of Green Investors on Stock Prices
NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2024)  BIS Working Papers, Bank for International Settlements (2023) View citations (1)
2023
- Asset management as creator of market inefficiency
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 
See also Journal Article Asset Management as Creator of Market Inefficiency, Atlantic Economic Journal, Springer (2023) (2023)
- Corrigendum: a preferred-habitat model of the term structure of interest rates (Econometrica, (2021), 89, 1, (77-112), 10.3982/ECTA17440)
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 
See also Journal Article Corrigendum: A Preferred‐Habitat Model of the Term Structure of Interest Rates, Econometrica, Econometric Society (2023) (2023)
- The Greek Economic Crisis and the Banks
GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe, Hellenic Observatory, LSE View citations (2)
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2023)
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 (17)
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 (4)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (30) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (33) LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2014) 
See also Journal Article Asset Management Contracts and Equilibrium Prices, Journal of Political Economy, University of Chicago Press (2022) View citations (8) (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 (74)
Also in 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 (431) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) View citations (441) NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (459)
See also Journal Article A Preferred‐Habitat Model of the Term Structure of Interest Rates, Econometrica, Econometric Society (2021) View citations (87) (2021)
- The Distribution of Investor Beliefs, Stock Ownership and Stock Returns
CEPR Discussion Papers, C.E.P.R. Discussion Papers 
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2021) View citations (2)
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 
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2020)
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 (26)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (14) LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2017)  NBER Working Papers, National Bureau of Economic Research, Inc (2015) View citations (11)
See also Journal Article Financial Markets Where Traders Neglect the Informational Content of Prices, Journal of Finance, American Finance Association (2019) View citations (38) (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 NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (12) LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2014) View citations (12) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (12) FMG Discussion Papers, Financial Markets Group (2014) View citations (9) 2014 Meeting Papers, Society for Economic Dynamics (2014) View citations (20)
See also Journal Article Liquidity Risk and the Dynamics of Arbitrage Capital, Journal of Finance, American Finance Association (2019) View citations (26) (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 (26)
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2017)  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) LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2015) 
See also Journal Article The Dynamics of Financially Constrained Arbitrage, Journal of Finance, American Finance Association (2018) View citations (31) (2018)
2017
- ESBies: safety in the tranches
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (63)
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) View citations (10) ESRB Working Paper Series, European Systemic Risk Board (2016) View citations (10) EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) (2016) View citations (11) Discussion Papers, Centre for Macroeconomics (CFM) (2016) View citations (9) 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 (11) CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy (2016) View citations (21)
See also Journal Article ESBies: safety in the tranches, Economic Policy, CEPR, CESifo, Sciences Po (2017) View citations (69) (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 (61)
Also in GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe, Hellenic Observatory, LSE (2016) View citations (53) NBER Working Papers, National Bureau of Economic Research, Inc (2016) View citations (55) LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2017) View citations (39) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) View citations (55)
See also Journal Article The Analytics of the Greek Crisis, NBER Macroeconomics Annual, University of Chicago Press (2017) View citations (44) (2017) Chapter The Analytics of the Greek Crisis, NBER Chapters, National Bureau of Economic Research, Inc (2016) View citations (54) (2016)
2016
- Curse of the benchmarks
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (1)
- The Sovereign-Bank Diabolic Loop and ESBies
NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)
Also in EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) (2016)  Working Papers, HAL (2016) View citations (1) LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) View citations (15) CEP Discussion Papers, Centre for Economic Performance, LSE (2016) View citations (24) HEC Research Papers Series, HEC Paris (2016) View citations (24) CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy (2016) View citations (21) LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016)  Discussion Papers, Centre for Macroeconomics (CFM) (2016) View citations (24) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) View citations (24) LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) View citations (1)
See also Journal Article The Sovereign-Bank Diabolic Loop and ESBies, American Economic Review, American Economic Association (2016) View citations (122) (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 (14)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (13)
See also Chapter Forward Guidance in the Yield Curve: Short Rates versus Bond Supply, Central Banking, Analysis, and Economic Policies Book Series, Central Bank of Chile (2016) View citations (10) (2016)
2013
- Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt
Post-Print, HAL View citations (45)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013) View citations (50) FMG Discussion Papers, Financial Markets Group (2011)  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) View citations (42) LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2011) 
See also Journal Article Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt, The Review of Financial Studies, Society for Financial Studies (2013) View citations (50) (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)
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2012) View citations (8)
See also Journal Article Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition, The Review of Financial Studies, Society for Financial Studies (2012) View citations (69) (2012)
- Market Liquidity - Theory and Empirical Evidence
FMG Discussion Papers, Financial Markets Group View citations (6)
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2012) View citations (1) NBER Working Papers, National Bureau of Economic Research, Inc (2012) View citations (24)
2011
- An institutional Theory of Momentum and Reversal
FMG Discussion Papers, Financial Markets Group View citations (1)
Also in FMG Discussion Papers, Financial Markets Group (2008) View citations (17) LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2011) View citations (18) NBER Working Papers, National Bureau of Economic Research, Inc (2008) View citations (17) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations (19)
See also Journal Article An Institutional Theory of Momentum and Reversal, The Review of Financial Studies, Society for Financial Studies (2013) View citations (152) (2013)
- Fund Flows and Asset Prices: A Baseline Model
FMG Discussion Papers, Financial Markets Group View citations (2)
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2011)
- 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) LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2011)
2010
- Limits of Arbitrage: The State of the Theory
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (166)
Also in FMG Discussion Papers, Financial Markets Group (2010) View citations (94) LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2010) View citations (22) NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (168)
- Price pressure in the government bond market
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (111)
See also Journal Article Price Pressure in the Government Bond Market, American Economic Review, American Economic Association (2010) View citations (127) (2010)
2009
- Liquidity and Asset Prices: A Unified Framework
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2009) View citations (4) NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (7) 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 (58)
See also Journal Article Bond Supply and Excess Bond Returns, The Review of Financial Studies, Society for Financial Studies (2014) View citations (258) (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) NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations (8) 2005 Meeting Papers, Society for Economic Dynamics (2005) 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 A Search‐Based Theory of the On‐the‐Run Phenomenon, Journal of Finance, American Finance Association (2008) View citations (175) (2008)
- The Gambler's and Hot-Hand Fallacies: Theory and Applications
CEPR Discussion Papers, C.E.P.R. Discussion Papers 
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007)  FMG Discussion Papers, Financial Markets Group (2007) 
See also Journal Article The Gambler's and Hot-Hand Fallacies: Theory and Applications, The Review of Economic Studies, Review of Economic Studies Ltd (2010) View citations (111) (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 Strong-Form Efficiency with Monopolistic Insiders, The Review of Financial Studies, Society for Financial Studies (2008) View citations (18) (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 (309)
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004) View citations (283)
- 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 Search and endogenous concentration of liquidity in asset markets, Journal of Economic Theory, Elsevier (2007) View citations (130) (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 (249)
Also in Research Papers, Stanford University, Graduate School of Business (2001) View citations (11)
See also Journal Article Persuasion Bias, Social Influence, and Unidimensional Opinions, The Quarterly Journal of Economics, President and Fellows of Harvard College (2003) View citations (349) (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 The Decentralization of Information Processing in the Presence of Interactions, The Review of Economic Studies, Review of Economic Studies Ltd (2003) View citations (17) (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 (496)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) View citations (31)
See also Journal Article Equilibrium and welfare in markets with financially constrained arbitrageurs, Journal of Financial Economics, Elsevier (2002) View citations (534) (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 (45)
See also Journal Article Strategic Trading in a Dynamic Noisy Market, Journal of Finance, American Finance Association (2001) View citations (47) (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 (82)
See also Journal Article Equilibrium interest rate and liquidity premium with transaction costs, Economic Theory, Springer (1999) View citations (90) (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 (68)
See also Journal Article Strategic Trading and Welfare in a Dynamic Market, The Review of Economic Studies, Review of Economic Studies Ltd (1999) View citations (81) (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 (192)
See also Journal Article Transaction Costs and Asset Prices: A Dynamic Equilibrium Model, The Review of Financial Studies, Society for Financial Studies (1998) View citations (204) (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
2023
- Asset Management as Creator of Market Inefficiency
Atlantic Economic Journal, 2023, 51, (1), 1-11 
See also Working Paper Asset management as creator of market inefficiency, LSE Research Online Documents on Economics (2023) (2023)
- Corrigendum: A Preferred‐Habitat Model of the Term Structure of Interest Rates
Econometrica, 2023, 91, (3), 31-32 
See also Working Paper Corrigendum: a preferred-habitat model of the term structure of interest rates (Econometrica, (2021), 89, 1, (77-112), 10.3982/ECTA17440), LSE Research Online Documents on Economics (2023) (2023)
2022
- Asset Management Contracts and Equilibrium Prices
Journal of Political Economy, 2022, 130, (12), 3146 - 3201 View citations (8)
See also Working Paper Asset management contracts and equilibrium prices, LSE Research Online Documents on Economics (2022) View citations (4) (2022)
2021
- A Preferred‐Habitat Model of the Term Structure of Interest Rates
Econometrica, 2021, 89, (1), 77-112 View citations (87)
See also Working Paper A preferred-habitat model of the term structure of interest rates, LSE Research Online Documents on Economics (2021) View citations (74) (2021)
2019
- Financial Markets Where Traders Neglect the Informational Content of Prices
Journal of Finance, 2019, 74, (1), 371-399 View citations (38)
See also Working Paper Financial markets where traders neglect the informational content of prices, LSE Research Online Documents on Economics (2019) View citations (26) (2019)
- Liquidity Risk and the Dynamics of Arbitrage Capital
Journal of Finance, 2019, 74, (3), 1139-1173 View citations (26)
See also Working Paper Liquidity risk and the dynamics of arbitrage capital, LSE Research Online Documents on Economics (2019) View citations (19) (2019)
2018
- The Dynamics of Financially Constrained Arbitrage
Journal of Finance, 2018, 73, (4), 1713-1750 View citations (31)
See also Working Paper The dynamics of financially constrained arbitrage, LSE Research Online Documents on Economics (2018) View citations (26) (2018)
2017
- ESBies: safety in the tranches
Economic Policy, 2017, 32, (90), 175-219 View citations (69)
See also Working Paper ESBies: safety in the tranches, LSE Research Online Documents on Economics (2017) View citations (63) (2017)
- The Analytics of the Greek Crisis
NBER Macroeconomics Annual, 2017, 31, (1), 1 - 81 View citations (44)
See also Working Paper The Analytics of the Greek Crisis, Department of Economics, Working Paper Series (2017) View citations (61) (2017) Chapter The Analytics of the Greek Crisis, NBER Chapters, 2016, 1-81 (2016) View citations (54) (2016)
2016
- The Sovereign-Bank Diabolic Loop and ESBies
American Economic Review, 2016, 106, (5), 508-12 View citations (122)
See also Working Paper The Sovereign-Bank Diabolic Loop and ESBies, NBER Working Papers (2016) View citations (20) (2016)
2014
- Bond Supply and Excess Bond Returns
The Review of Financial Studies, 2014, 27, (3), 663-713 View citations (258)
See also Working Paper Bond Supply and Excess Bond Returns, FMG Discussion Papers (2008) View citations (49) (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
The Review of Financial Studies, 2013, 26, (5), 1087-1145 View citations (152)
See also Working Paper An institutional Theory of Momentum and Reversal, FMG Discussion Papers (2011) View citations (1) (2011)
- Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt
The Review of Financial Studies, 2013, 26, (8), 1914-1961 View citations (50)
See also Working Paper Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt, Post-Print (2013) View citations (45) (2013)
2012
- Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition
The Review of Financial Studies, 2012, 25, (5), 1339-1365 View citations (69)
See also Working Paper Liquidity and Asset Returns under Asymmetric Information and Imperfect Competition, FMG Discussion Papers (2012) View citations (34) (2012)
- Quantitative Easing and Unconventional Monetary Policy – an Introduction
Economic Journal, 2012, 122, (564), F271-F288 View citations (215)
- Theories of Liquidity
Foundations and Trends(R) in Finance, 2012, 6, (4), 221-317 View citations (5)
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 (45)
- Limits of Arbitrage
Annual Review of Financial Economics, 2010, 2, (1), 251-275 View citations (207)
- Price Pressure in the Government Bond Market
American Economic Review, 2010, 100, (2), 585-90 View citations (127)
See also Working Paper Price pressure in the government bond market, LSE Research Online Documents on Economics (2010) View citations (111) (2010)
- The Gambler's and Hot-Hand Fallacies: Theory and Applications
The Review of Economic Studies, 2010, 77, (2), 730-778 View citations (111)
See also Working Paper The Gambler's and Hot-Hand Fallacies: Theory and Applications, CEPR Discussion Papers (2007) (2007)
2008
- A Search‐Based Theory of the On‐the‐Run Phenomenon
Journal of Finance, 2008, 63, (3), 1361-1398 View citations (175)
See also Working Paper A Search-Based Theory of the On-the-Run Phenomenon, FMG Discussion Papers (2007) View citations (13) (2007)
- Strong-Form Efficiency with Monopolistic Insiders
The Review of Financial Studies, 2008, 21, (5), 2275-2306 View citations (18)
See also Working Paper Strong-form efficiency with monopolistic insiders, LSE Research Online Documents on Economics (2005) (2005)
2007
- Search and endogenous concentration of liquidity in asset markets
Journal of Economic Theory, 2007, 136, (1), 66-104 View citations (130)
See also Working Paper Search and Endogenous Concentration of Liquidity in Asset Markets, Econometric Society 2004 North American Winter Meetings (2004) View citations (1) (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 (349)
See also Working Paper Persuasion bias, social influence, and uni-dimensional opinions, LSE Research Online Documents on Economics (2003) View citations (249) (2003)
- The Decentralization of Information Processing in the Presence of Interactions
The Review of Economic Studies, 2003, 70, (3), 667-695 View citations (17)
See also Working Paper The decentralization of information processing in the presence of interactions, LSE Research Online Documents on Economics (2003) View citations (14) (2003)
2002
- Equilibrium and welfare in markets with financially constrained arbitrageurs
Journal of Financial Economics, 2002, 66, (2-3), 361-407 View citations (534)
See also Working Paper Equilibrium and welfare in markets with financially constrained arbitrageurs, LSE Research Online Documents on Economics (2002) View citations (496) (2002)
2001
- Strategic Trading in a Dynamic Noisy Market
Journal of Finance, 2001, 56, (1), 131-171 View citations (47)
See also Working Paper Strategic trading in a dynamic noisy market, LSE Research Online Documents on Economics (2001) View citations (45) (2001)
1999
- Equilibrium interest rate and liquidity premium with transaction costs
Economic Theory, 1999, 13, (3), 509-539 View citations (90)
See also Working Paper Equilibrium interest rate and liquidity premium with transaction costs, LSE Research Online Documents on Economics (1999) View citations (82) (1999)
- Strategic Trading and Welfare in a Dynamic Market
The Review of Economic Studies, 1999, 66, (2), 219-254 View citations (81)
See also Working Paper Strategic trading and welfare in a dynamic market, LSE Research Online Documents on Economics (1999) View citations (68) (1999)
1998
- Transaction Costs and Asset Prices: A Dynamic Equilibrium Model
The Review of Financial Studies, 1998, 11, (1), 1-58 View citations (204)
See also Working Paper Transaction costs and asset prices: a dynamic equilibrium model, LSE Research Online Documents on Economics (1998) View citations (192) (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 (10)
See also Working Paper Forward Guidance in the Yield Curve: Short Rates versus Bond Supply, National Bureau of Economic Research, Inc (2015) View citations (14) (2015)
- The Analytics of the Greek Crisis
A chapter in NBER Macroeconomics Annual 2016, Volume 31, 2016, pp 1-81 View citations (54)
See also Journal Article The Analytics of the Greek Crisis, University of Chicago Press (2017) View citations (44) (2017) Working Paper The Analytics of the Greek Crisis, Department of Economics, Institute for Business and Economic Research, UC Berkeley (2017) View citations (61) (2017)
2013
- Market Liquidity—Theory and Empirical Evidence *
Elsevier View citations (12)
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