NBER

Dimitri Vayanos

Department of Finance, OLD 3.41
London School of Economics
Houghton Street
London WC2A 2AE
UNITED KINGDOM
Tel: +44 (0)20 7955 6382
Fax: +44 (0)20 7955 7420

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
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NBER Program Affiliations: AP
NBER Affiliation: Research Associate
Institutional Affiliations: London School of Economics and CEPR

NBER Working Papers and Publications

September 2016The Analytics of the Greek Crisis
with Pierre-Olivier Gourinchas, Thomas Philippon
in NBER Macroeconomics Annual 2016, Volume 31, Martin Eichenbaum and Jonathan A. Parker, editors
June 2016The Analytics of the Greek Crisis
with Pierre-Olivier Gourinchas, Thomas Philippon: w22370
February 2016The Sovereign-Bank Diabolic Loop and ESBies
with Markus K. Brunnermeier, Luis Garicano, Philip Lane, Marco Pagano, Ricardo Reis, Tano Santos, David Thesmar, Stijn Van Nieuwerburgh: w21993

Published: Markus K. Brunnermeier & Luis Garicano & Philip R. Lane & Marco Pagano & Ricardo Reis & Tano Santos & David Thesmar & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2016. "The Sovereign-Bank Diabolic Loop and ESBies," American Economic Review, American Economic Association, vol. 106(5), pages 508-12, May. citation courtesy of

December 2015Forward Guidance in the Yield Curve: Short Rates versus Bond Supply
with Robin Greenwood, Samuel Hanson: w21750
May 2015Financial Markets where Traders Neglect the Informational Content of Prices
with Erik Eyster, Matthew Rabin: w21224

Published: ERIK EYSTER & MATTHEW RABIN & DIMITRI VAYANOS, 2019. "Financial Markets Where Traders Neglect the Informational Content of Prices," The Journal of Finance, vol 74(1), pages 371-399. citation courtesy of

February 2015The Dynamics of Financially Constrained Arbitrage
with Denis Gromb: w20968

Published: DENIS GROMB & DIMITRI VAYANOS, 2018. "The Dynamics of Financially Constrained Arbitrage," The Journal of Finance, vol 73(4), pages 1713-1750. citation courtesy of

September 2014Asset Management Contracts and Equilibrium Prices
with Andrea M. Buffa, Paul Woolley: w20480
February 2014Liquidity Risk and the Dynamics of Arbitrage Capital
with Péter Kondor: w19931

Published: PÉTER KONDOR & DIMITRI VAYANOS, 2019. "Liquidity Risk and the Dynamics of Arbitrage Capital," The Journal of Finance, vol 74(3), pages 1139-1173. citation courtesy of

March 2013Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt
with Stéphane Guibaud, Yves Nosbusch: w18922

Published: Stéphane Guibaud & Yves Nosbusch & Dimitri Vayanos, 2013. "Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt," Review of Financial Studies, Society for Financial Studies, vol. 26(8), pages 1914-1961. citation courtesy of

July 2012Market Liquidity -- Theory and Empirical Evidence
with Jiang Wang: w18251

Published: Market Liquidity—Theory and Empirical Evidence, in George Constantinides, Milton Harris, and Rene Stulz, eds.: Handbook of the Economics of Finance, 2013, Chapter 19, North Holland, Amsterdam. (With Jiang Wang)

March 2010Limits of Arbitrage: The State of the Theory
with Denis Gromb: w15821

Published: Limits of Arbitrage: The State of the Theory, Annual Review of Financial Economics, 2010, 2, 251-275. (With Denis Gromb)

November 2009A Preferred-Habitat Model of the Term Structure of Interest Rates
with Jean-Luc Vila: w15487
August 2009Liquidity and Asset Prices: A Unified Framework
with Jiang Wang: w15215

Published: Liquidity and Asset Prices under Asymmetric Information and Imperfect Competition, Review of Financial Studies, 2012, 25, 1339-1365. (With Jiang Wang) Previously circulated under the title: Liquidity and Asset Prices: A Unified Framework.

December 2008An Institutional Theory of Momentum and Reversal
with Paul Woolley: w14523

Published: Dimitri Vayanos & Paul Woolley, 2013. "An Institutional Theory of Momentum and Reversal," Review of Financial Studies, Society for Financial Studies, vol. 26(5), pages 1087-1145. citation courtesy of

February 2008Bond Supply and Excess Bond Returns
with Robin Greenwood: w13806

Published: Robin Greenwood & Dimitri Vayanos, 2014. "Bond Supply and Excess Bond Returns," Review of Financial Studies, Society for Financial Studies, vol. 27(3), pages 663-713. citation courtesy of

November 2006A Search-Based Theory of the On-the-Run Phenomenon
with Pierre-Olivier Weill: w12670

Published: Dimitri Vayanos & Pierre-Olivier Weill, 2008. "A Search-Based Theory of the On-the-Run Phenomenon," Journal of Finance, American Finance Association, vol. 63(3), pages 1361-1398, 06. citation courtesy of

February 2004Flight to Quality, Flight to Liquidity, and the Pricing of Risk
w10327

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