In this paper I investigate the nexus between buyer–seller dynamics, financial frictions and market efficiency in decentralized markets. To do so, I introduce financial frictions in a dynamic market with heterogeneous traders. Heterogeneously constrained buyers sequentially enter the market to acquire units of a generic good from heterogeneously endowed sellers. I characterize two closely related classes of equilibria, respectively called homogeneous equilibrium with no entry (HEWNE) and homogeneous equilibrium with entry (HEWE). Both equilibria prescribe a market where only the efficiently endowed type of seller exists in the limit. However, the two equilibria diverge in the specification of agents’ behavior subsequent to trade. In HEWNE, sellers and buyers exit the market upon successful trading. In HEWE, like in supply chains, in every period certain types of buyers replace exiting sellers, thus becoming potential sellers for subsequent waves of buyers. First, I identify the critical role of frictions in steering the complex evolution of market heterogeneity for both classes of equilibria. Secondly, I operationalize the combined study of HEWNE and HEWE to obtain sharp predictions on market efficiency for a range of empirically-relevant situations in which buyer–seller dynamics are decoupled, for example when entry of new sellers is delayed or stopped. Third, I test the theoretical findings against a simulated artificial market.

在本文中，我研究了去中心化市场中买卖双方动态、金融摩擦和市场效率之间的关系。为此，我在具有异质交易者的动态市场中引入了金融摩擦。异质约束的买者依次进入市场，从异质禀赋的卖者那里获得通用商品的单位。我描述了两种密切相关的均衡类别，分别称为无入口均质均衡 (HEWNE) 和有入口均质均衡 (HEWE)。两种均衡都规定了一个市场，在这个市场中，只有有效禀赋类型的卖方存在于极限中。然而，这两个均衡在交易后代理人行为的规范方面存在分歧。在 HEWNE 中，买卖双方在交易成功后退出市场。在 HEWE 中，就像在供应链中一样，在每个时期，某些类型的买家会取代现有的卖家，从而成为后续买家浪潮的潜在卖家。首先，我确定了摩擦在引导两类均衡的市场异质性复杂演变方面的关键作用。其次，我将 HEWNE 和 HEWE 的联合研究付诸实践，以获得对一系列经验相关情况的市场效率的敏锐预测，在这些情况下，买卖双方动态脱钩，例如当新卖家的进入被延迟或停止时。第三，我针对模拟的人工市场测试了理论发现。我确定了摩擦在引导两类均衡的市场异质性复杂演变方面的关键作用。其次，我将 HEWNE 和 HEWE 的联合研究付诸实践，以获得对一系列经验相关情况的市场效率的敏锐预测，在这些情况下，买卖双方动态脱钩，例如当新卖家的进入被延迟或停止时。第三，我针对模拟的人工市场测试了理论发现。我确定了摩擦在引导两类均衡的市场异质性复杂演变方面的关键作用。其次，我将 HEWNE 和 HEWE 的联合研究付诸实践，以获得对一系列经验相关情况的市场效率的敏锐预测，在这些情况下，买卖双方动态脱钩，例如当新卖家的进入被延迟或停止时。第三，我针对模拟的人工市场测试了理论发现。