Asset Markets With Heterogeneous Information

• 成果类型: Article
• 署名作者: Kurlat, Pablo
• 署名单位: Stanford University
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA12099
• 发表日期: 2016
• 页码: 33-85
• 关键词: Fire sales; adverse selection; equilibrium; COMPETITION

摘要

This paper studies competitive equilibria of economies where assets are heterogeneous and traders have heterogeneous information about them. Markets are defined by a price and a procedure for clearing trades, and any asset can, in principle, be traded in any market. Buyers can use their information to impose acceptance rules which specify which assets they are willing to trade in each market. The set of markets where trade takes place is derived endogenously. The model can be applied to find conditions under which these economies feature fire sales, contagion, and flights to quality.