——————————————————————————————————— We develop a model where agents can allocate their wealth between a liquid asset, which can be used to purchase consumption goods, and an illiquid asset, which represents a better store of value. Should a consumption opportunity arise, agents may visit a frictional “over-the-counter” secondary asset market where they can exchange illiquid for liquid assets. W...

There is considerable heterogeneity in the development of derivatives markets in different countries. The question is: why? This paper addresses this question in the context of major derivatives markets in Latin America. The largest derivatives exchanges in Latin America are located in Argentina, Brazil, and Mexico. In addition, over-the-counter (OTC) markets exist in Chile and Peru. Excluding ...

This paper develops a continuous-time model of the public and private provision of liquidity and its relation to unemployment. We extend the Mortensen-Pissarides model of the labor market by adding an over-the-counter (OTC) market where trades are collateralized with claims on …rms’pro…ts and public liabilities backed by taxes. As a result, the real interest rate is endogenous and depends on th...

In a previous paper, Bhaduri and Whelan (2008), we presented a simple model of hedge fund liquidity. That paper explored the fact that not being able to pull one’s money out of an investment instantaneously at a fair price can have a powerful impact on the portfolio. Real world examples include the 1993 Metallgesellschaft debacle (Smithson, 1998) and the recent difficulties experienced by the B...

urveillance of over-the-counter (OTC) pharmaceutical sales may someday be used to give public health offi cials an early warning about developing public health conditions. To acquire confi dence in this surveillance, it is necessary to establish fi rmly that OTC sales may be used to predict changes in clinical conditions with a useful time lead. This article reports the magnitude of correlation...

During the recent debt crisis in Europe, policy makers responded to the controversy surrounding CDS by implementing a series of policies that banned CDS trading. Sambalaibat (2014) documents that a temporary CDS ban increased bond market liquidity but a permanent ban instead decreased bond market liquidity. To explain these patterns, I build a search-theoretic model of OTC bond and CDS markets ...

Scene classification is the task of determining the scene type in which a photograph was taken. In this paper we present a novel local descriptor suited for such a task: Oriented Texture Curves (OTC). Our descriptor captures the texture of a patch along multiple orientations, while maintaining robustness to illumination changes, geometric distortions and local contrast differences. We show that...

We provide an inventory of existing forms of transparency in CDS markets and discuss methods that may be used to increase transparency as well as their benefits and costs. In particular, we attempt to identify to whom such benefits and costs accrue (broker-dealers, end users, etc). We argue that increased market transparency has a cost, which must be weighed against its benefits in terms of mar...

When thinly traded growth stocks (TTGS) listed on a secondary exchange experience difficulty in gaining investors’ attention, one possible solution is to increase the intensity of disclosure. However, if the stock is traded on a quote-driven system, market makers can collude to maintain wide bid-ask spreads that discourage firms from disclosing. As a result, TTGS traded on a quote-driven system...