Equilibrium interest rate and liquidity premium with transaction costs

DOI10.1007/S001990050268MaRDI QIDQ1293736zbMATH OpenOpenAlexFDO

Authors Dimitri Vayanos, Jean-Luc Vila

Publication date 29 June 1999

Published in Economic Theory (Search for Journal in Brave)

Full work available at URL http://eprints.lse.ac.uk/453/

zbMATH Keywords

asset pricinggeneral equilibriumoverlapping generationstransaction costs

Mathematics Subject Classification ID

General equilibrium theory (91B50) Economic growth models (91B62)

Recommendations

• Equilibrium asset pricing with transaction costs
• scientific article; zbMATH DE number 852307
• Transaction costs, trading volume, and the liquidity premium

Cited in

(28)

• Equilibrium returns with transaction costs
• Existence of a Radner equilibrium in a model with transaction costs
• Stability of Radner equilibria with respect to small frictions
• Liquidity shocks and equilibrium liquidity premia.
• Financial intermediation in an overlapping generations model with transaction costs
• Equilibrium asset pricing with transaction costs
• Managing liquidity with portfolio staleness
• Price impact equilibrium with transaction costs and TWAP trading
• An incomplete equilibrium with a stochastic annuity
• Monetary transaction costs and the term premium
• Search and endogenous concentration of liquidity in asset markets
• Price impact in Nash equilibria
• Dynamic portfolio choice with frictions
• Macroeconomic effects of an equity transaction tax in a general-equilibrium model
• Investing with liquid and illiquid assets
• scientific article; zbMATH DE number 852307 (Why is no real title available?)
• Minimizing the probability of lifetime ruin: two riskless assets with transaction costs
• A NOTE ON LIQUIDITY AND REAL EQUILIBRIUM INTEREST RATES
• Asset pricing with general transaction costs: Theory and numerics
• Equilibrium open interest
• A multi-agent targeted trading equilibrium with transaction costs
• Asset pricing in an imperfect world
• General equilibrium with unhedgeable fundamentals and heterogeneous agents
• Nonconcave utility maximization with transaction costs
• Portfolio choice and settlement frictions: a theory of endogenous convenience yields
• Exploring policy options in joint intertemporal-spatial trade models using an incomplete markets approach
• Effects of securities transaction taxes on depth and bid-ask spread
• Liquidity premia in dynamic bargaining markets

This page was built for publication: Equilibrium interest rate and liquidity premium with transaction costs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1293736)