Skip to:
  1. Main navigation
  2. Main content
  3. Footer
Working Paper

Search in Asset Markets: Market Structure, Liquidity, and Welfare

Download pdf
This paper investigates how market structure affects efficiency and several dimensions of liquidity in an asset market. To this end, we generalize the search-theoretic model of financial intermediation of Darrell Duffie et al. (2005) to allow for entry of dealers and unrestricted asset holdings.
01.01.2007WP 07-01DOI 10.26509/frbc-wp-200701
Keywords bid-ask spread, execution delay, liquidity, search, trade volume
JEL Classification Codes G11, G12, G21
Suggested Citation

Lagos, Ricardo, and Guillaume Rocheteau. 2007. “Search in Asset Markets: Market Structure, Liquidity, and Welfare.” Federal Reserve Bank of Cleveland, Working Paper No. 07-01. https://doi.org/10.26509/frbc-wp-200701