| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w21421 |
| 来源ID | Working Paper 21421 |
| The Dynamic Properties of Financial-Market Equilibrium with Trading Fees | |
| Adrian Buss; Bernard Dumas | |
| 发表日期 | 2015-08-03 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | We incorporate trading fees in a long-horizon dynamic general-equilibrium model in which traders optimally and endogenously decide when and how much to trade. A full characterization of equilibrium is provided, which allows us to study the dynamics of equilibrium trades, equilibrium asset prices and rates of return in the presence of trading fees. We exhibit the effect of trading fees on deviations from the consumption- CAPM and analyze the pricing of endogenous liquidity risk. We compare, for the same shocks, the impulse responses of this model to those of a model in which trading is infrequent because of trader inattention. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w21421 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/579096 |
| 推荐引用方式 GB/T 7714 | Adrian Buss,Bernard Dumas. The Dynamic Properties of Financial-Market Equilibrium with Trading Fees. 2015. |
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