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Working Paper

Option Prices, Exchange Market Intervention, and the Higher Moment Expectations Channel: A User’s Guide

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.

Suggested Citation

Galati, Gabriele, Owen F. Humpage, Patrick Higgins, and William Melick. 2006. “Option Prices, Exchange Market Intervention, and the Higher Moment Expectations Channel: A User’s Guide.” Federal Reserve Bank of Cleveland, Working Paper No. 06-18. https://doi.org/10.26509/frbc-wp-200618