Transition Dynamics in Equilibrium Search

• 成果类型: Article
• 署名作者: Akin, S. Nuray; Platt, Brennan C.
• 署名单位: Ozyegin University; Brigham Young University
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MICROECONOMICS
• ISSN/ISSBN: 1945-7669
• DOI: 10.1257/mic.20200227
• 发表日期: 2022
• 页码: 158-199
• 关键词: asset fire sales; adverse selection; trading dynamics; prices; MODEL; liquidity; MARKET; time

摘要

We study a dynamic equilibrium search model where sellers differ in their urgency to liquidate an asset. Buyers strategically make price offers without knowing a given seller's urgency. We study liquidity and price dynamics on the transition path after an unex-pected shock. Generically, the transition includes a phase where all buyers offer the same price, causing a market collapse; how-ever, price dispersion resumes in finite time, leading to a recovery where both types make sales. We show that prices and liquidity can overshoot before converging to the steady state. When relaxed sell-ers randomly become desperate, dampening oscillations can occur. (JEL C73, D11, D83)