Aggregate implications of micro asset market segmentation

Pierre-Olivier Weill and Chris Edmond

No 481, 2008 Meeting Papers from Society for Economic Dynamics

Abstract: A large body of empirical work documents that specialized asset markets (e.g. stocks, bonds, derivatives) seem to be segmented: local asset prices are driven in part by local factors such as local demand or local changes in idiosyncratic risk. The goal of this paper is to study the aggregate implications of such local asset market segmentation. We develop a model of a financial system comprised of a large number of partially segmented asset markets. We use the model to ask whether local market segmentation can help explain standard macro asset pricing facts.

Date: 2008
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Related works:
Journal Article: Aggregate implications of micro asset market segmentation (2012)
Working Paper: Aggregate Implications of Micro Asset Market Segmentation (2011)
Working Paper: Aggregate Implications of Micro Asset Market Segmentation (2009)
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