A tractable model of indirect asset liquidity

DOI10.1016/J.JET.2016.12.009MaRDI QIDQ508401zbMATH OpenOpenAlexFDO

Authors Lucas Herrenbrueck, Athanasios Geromichalos

Publication date 10 February 2017

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL http://repec.dss.ucdavis.edu/rails/active_storage/blobs/eyJfcmFpbHMiOnsibWVzc2FnZSI6IkJBaHBBWUU9IiwiZXhwIjpudWxsLCJwdXIiOiJibG9iX2lkIn19--79c4db671beb9cc8c5d37ad302cf333fc0db93e7/15-3.pdf

zbMATH Keywords

monetary policyasset pricesmonetary-search modelsasset liquiditymonetary aggregates

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Macroeconomic theory (monetary models, models of taxation) (91B64)

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Cites work

• A search-theoretic model of the term premium
• Degreasing the wheels of finance
• Economic monetary aggregates. An application of index number and aggregation theory
• Money and capital as competing media of exchange
• Money, credit and banking
• Over-the-Counter Markets
• Societal benefits of illiquid bonds.
• Trade dynamics in the market for federal funds

Cited in

(15)

• A Liquidity-based Model of Security Design
• INSIDE MONEY, INVESTMENT, AND UNCONVENTIONAL MONETARY POLICY
• Liquidity and private information in asset markets: to signal or not to signal
• Liquidity and asset prices in a monetary model with OTC asset markets
• Frictional asset markets and the liquidity channel of monetary policy
• Adverse selection and costly information acquisition in asset markets
• Frictional asset reallocation under adverse selection
• Modeling the liquidity effect with the limited participation model: a skeptical view
• EGARCH Model with Weighted Liquidity
• Information, liquidity, asset prices, and monetary policy
• A tractable model of monetary exchange with ex post heterogeneity
• Coexistence of money and interest-bearing bonds
• Liquidity of secondary capital markets: Allocative efficiency and the maturity composition of the capital stock
• On the optimal quantity of liquid bonds
• The role of trading frictions in financial markets

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