| 来源类型 | Working Paper
|
| 规范类型 | 报告
|
| DOI | 10.3386/w21528
|
| 来源ID | Working Paper 21528
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| Monetary Exchange in Over-the-Counter Markets: A Theory of Speculative Bubbles, the Fed Model, and Self-fulfilling Liquidity Crises |
| Ricardo Lagos; Shengxing Zhang
|
| 发表日期 | 2015-09-07
|
| 出版年 | 2015
|
| 语种 | 英语
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| 摘要 | We develop a model of monetary exchange in over-the-counter markets to study the effects of monetary policy on asset prices and standard measures of financial liquidity, such as bid-ask spreads, trade volume, and the incentives of dealers to supply immediacy, both by participating in the market-making activity and by holding asset inventories on their own account. The theory predicts that asset prices carry a speculative premium that reflects the asset's marketability and depends on monetary policy as well as the microstructure of the market where it is traded. These liquidity considerations imply a positive correlation between the real yield on stocks and the nominal yield on Treasury bonds---an empirical observation long regarded anomalous. The theory also exhibits rational expectations equilibria with recurring belief driven events that resemble liquidity crises, i.e., times of sharp persistent declines in asset prices, trade volume, and dealer participation in market-making activity, accompanied by large increases in spreads and abnormally long trading delays. |
| 主题 | Microeconomics
; Economics of Information
; Macroeconomics
; Business Cycles
; Monetary Policy
; Financial Economics
; Portfolio Selection and Asset Pricing
|
| URL | https://www.nber.org/papers/w21528
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/579203
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推荐引用方式
GB/T 7714 |
Ricardo Lagos,Shengxing Zhang. Monetary Exchange in Over-the-Counter Markets: A Theory of Speculative Bubbles, the Fed Model, and Self-fulfilling Liquidity Crises. 2015.
|
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