Liquidity and asset-market dynamics
成果类型：
Article
署名作者：
Rocheteau, Guillaume; Wright, Randall
署名单位：
University of California System; University of California Irvine; University of Wisconsin System; University of Wisconsin Madison
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/j.jmoneco.2012.11.002
发表日期：
2013
页码：
275-294
关键词：
摘要：
This study analyzes economies with an essential role for liquid assets in the exchange process. The model can generate multiple stationary equilibria, across which asset prices, market participation, capitalization, output and welfare are positively related. It can also generate a variety of nonstationary equilibria, even when fundamentals are deterministic and time invariant, including periodic, chaotic and stochastic (sunspot) equilibria with recurrent market crashes. Some equilibria have asset-price trajectories that resemble bubbles growing and bursting. Endogenous private and public liquidity is also introduced. Sometimes it is efficient to provide enough liquid assets to satiate demand; other times it is not. (c) 2012 Elsevier B.V. All rights reserved.
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