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118 results on '"Weill, Pierre-Olivier"'

110. Liquidity and the Threat of Fraudulent Assets.

Author

Yiting Li, Rocheteau, Guillaume, and Weill, Pierre-Olivier

Subjects
LIQUIDITY (Economics), OVER-the-counter markets, FRAUD, ASSETS (Accounting), COLLATERAL security, ACCOUNTING fraud, ACCOUNTING, MATHEMATICAL models
Abstract

We study an over-the-counter OTC market in which the usefulness of assets as a means of payment or collateral is limited by the threat of fraudulent practices. Agents can produce fraudulent assets at a positive cost, which generates upper bounds on the quantity of each asset that can be traded in the OTC market. Each of these endogenous, asset-specific, resalability constraints depends on the cost of fraud, on the frequency of trade, and on the asset price. In equilibrium, assets are partitioned into three liquidity tiers, which differ in their resalability, prices, haircuts, sensitivity to shocks, and responses to policies. [ABSTRACT FROM AUTHOR]

Published
2012
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116. A search-based theory of the on-the-run phenomenon

Author

Vayanos, Dimitri, Weill, Pierre-Olivier, Vayanos, Dimitri, and Weill, Pierre-Olivier

Abstract

We propose a model in which assets with identical cash flows can trade at different prices. Infinitely-lived agents can establish long positions in a search spot market, or short positions by first borrowing an asset in a search repo market. We show that short-sellers can endogenously concentrate in one asset because of search externalities and the constraint that they must deliver the asset they borrowed. That asset enjoys greater liquidity, measured by search times, and a higher lending fee (“specialness ). Liquidity and specialness translate into price premia that are consistent with no-arbitrage. We derive closed-form solutions for small frictions, and can generate price differentials in line with observed on-the-run premia.

117. A search-based theory of the on-the-run phenomenon

Author

Vayanos, Dimitri, Weill, Pierre-Olivier, Vayanos, Dimitri, and Weill, Pierre-Olivier

Abstract

We propose a model in which assets with identical cash flows can trade at different prices. Agents enter into an infinite-horizon, steady-state market to establish long or short positions. Both the spot and the asset-lending market operate through search. Short-sellers can endogenously concentrate in one asset because of search externalities and the constraint that they must deliver the asset they borrowed. As a result, that asset enjoys both greater liquidity, measured by search times, and a higher lending fee ("specialness"). Liquidity and specialness translate into price premia that are consistent with no-arbitrage. We derive closed-form solutions for small frictions, and can generate price differentials in line with observed on-the-run premia.

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