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


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.

JEL Classification: G11, G12, G21

Keywords: bid-ask spread, execution delay, liquidity, search, trade volume


Suggested citation: Lagos, Richard, and Guillaume Rocheteau, 2007. "Search in Asset Markets: Market Structure, Liquidity, and Welfare," Federal Reserve Bank of Cleveland, Working Paper no. 07-01.

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