منابع مشابه
Liquidity, Assets and Business Cycles
Equity price is cyclical and often leads the business cycle. These observations have led to the hypothesis that shocks to equity market liquidity are an independent source of the business cycle. In this paper I construct a tractable model to evaluate this hypothesis. After calibrating the model to the US data, I find that a negative liquidity shock in the equity market can generate large reduct...
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This paper presents a real business cycle model with search frictions in the asset market, where equity liquidity is endogenously determined. I use the model to study how labor input, asset liquidity and asset prices fluctuate in response to productivity and liquidity shocks, and how, in turn, these fluctuations magnify the impact of productivity shocks on economic activity. A household’s inves...
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In this paper, we modify the model of Benhabib and Laroque in which the behaviour of non steady-state equilibria in the neighborhood of the golden rule steady state are studied, to include liquidity constraints. We observe, in an example, the appearance of new cycles.
متن کاملLiquidity Pricing of Illiquid Assets
So far the main body of the asset pricing literature has computed liquidity risk premia for either markets or single assets. The vast majority of these studies have been focused on fairly liquid assets, but recently a greater attempt to price such an important component of the asset pricing factors in markets with high illiquidity (especially in real estate) has also started to take place. The ...
متن کاملLiquidity and the Threat of Fraudulent Assets
We study an over-the-counter (OTC) market with bilateral meetings and bargaining where the usefulness of assets, as means of payment or collateral, is limited by the threat of fraudulent practices. We assume that agents can produce fraudulent assets at a positive cost, which generates endogenous upper bounds on the quantity of each asset that can be sold, or posted as collateral in the OTC mark...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2011
ISSN: 1556-5068
DOI: 10.2139/ssrn.1845988