An Empirical Equilibrium Model of a Decentralized Asset Market

• 成果类型: Article
• 署名作者: Gavazza, Alessandro
• 署名单位: University of London; London School Economics & Political Science
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA10847
• 发表日期: 2016
• 页码: 1755-1798
• 关键词: the-counter markets; search frictions; stationary equilibrium; Capital Reallocation; COMMERCIAL AIRCRAFT; free entry; liquidity; middlemen; intermediation; EFFICIENCY

摘要

I estimate a search-and-bargaining model of a decentralized market to quantify the effects of trading frictions on asset allocations, asset prices, and welfare, and to quantify the effects of intermediaries that facilitate trade. Using business-aircraft data, I find that, relative to the Walrasian benchmark, 18.3 percent of the assets are misallocated; prices are 19.2 percent lower; and the aggregate welfare losses equal 23.9 percent. Dealers play an important role in reducing trading frictions: In a market with no dealers, a larger fraction of assets would be misallocated, and prices would be higher. However, dealers reduce aggregate welfare because their operations are costly, and they impose a negative externality by decreasing the number of agents' direct transactions.