Chris Edmond Risk - sharing with endogenous segmentation

Endogenous asset market segmentation : interest rate dynamics

Income Dispersion and Counter - Cyclical Markups : Supplementary Material and Technical Appendix

This appendix provides the formal proof of Proposition 1, an analytic calculation showing that indivisible x-goods are not essential for our main results, and a numerical example showing that our results can also be obtained in a random coefficients discrete choice demand system like that of Berry, Levinsohn and Pakes (1995), commonly used in the industrial organization literature. The appendix...

Aggregate Implications of Micro Asset Market Segmentation∗

This paper develops a consumption-based asset pricing model to explain and quantify the aggregate implications of a frictional financial system, comprised of many financial markets partially integrated with one-another. Each of our micro financial markets is inhabited by traders who are specialized in that market’s type of asset. We specify exogenously the level of segmentation that ultimately ...

Endogenous asset market segmentation

Agents and endowments. There is a continuum of ex ante identical households, a large number of perfectly competitive financial intermediaries, and a government. As in a typical cash-inadvance economy each household splits into a worker and a shopper each period. Each period each household receives an idiosyncratic endowment y ∈ [0,∞) that is IID in the population and IID over time with density ...

Revisiting the Tale of Two Interest Rates with Endogenous Asset Market Segmentation

We develop a monetary model that is unique in its ability to deliver a negative correlation between aggregate consumption growth and short-term real interest rates consistent with U.S. data. The essential ingredient to this success is endogenous asset market segmentation permitting the extent of household participation in asset markets to vary smoothly with changes in aggregate conditions. Hous...