An empirical equilibrium model of a decentralized asset market

• Autores: Alessandro Gavazza
• Localización: Econométrica: Journal of the Econometric Society, ISSN 0012-9682, Vol. 84, Nº 5, 2016, págs. 1755-1798
• Idioma: inglés
• Texto completo no disponible (Saber más ...)
• Resumen

  • 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. [web URL: http://onlinelibrary.wiley.com/doi/10.3982/ECTA10847/abstract]