Heterogeneity in decentralized asset markets

• 成果类型: Article
• 署名作者: Hugonnier, Julien; Lester, Benjamin; Weill, Pierre-Olivier
• 署名单位: Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; University of California System; University of California Los Angeles
• 刊物名称: THEORETICAL ECONOMICS
• ISSN/ISSBN: 1933-6837
• DOI: 10.3982/TE4796
• 发表日期: 2022-07-01
• 页码: 1313-1356
• 关键词: Over-the-counter markets; search frictions; bargaining; Heterogeneity; price dispersion; G11; G12; G21

摘要

We study a canonical model of decentralized exchange for a durable good or asset, where agents are assumed to have time-varying, heterogeneous utility types. Whereas the existing literature has focused on the special case of two types, we allow agents' utility to be drawn from an arbitrary distribution. Our main contribution is methodological: we provide a solution technique that delivers a complete characterization of the equilibrium, in closed form, both in and out of the steady state. This characterization offers a richer framework for confronting data from real-world markets and reveals a number of new economic insights. In particular, we show that heterogeneity magnifies the impact of frictions on equilibrium outcomes and that this impact is more pronounced on price levels than on price dispersion and welfare.