Payments and liquidity under adverse selection
成果类型：
Article
署名作者：
Rocheteau, Guillaume
署名单位：
University of California System; University of California Irvine; Federal Reserve System - USA; Federal Reserve Bank - Cleveland
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/j.jmoneco.2011.06.005
发表日期：
2011
页码：
191-205
关键词：
摘要：
Informational asymmetries regarding the future value of assets affect their role in exchange. I construct a random-matching economy composed of two assets: a risk-free bond and a Lucas tree whose terminal value is privately known to its holder. No restrictions are imposed on payment arrangements. The main finding supports a pecking-order theory of payments: Agents use their risk-free bonds first in order to finance their spending shocks, and they use their information-sensitive assets only if their holdings of bonds are depleted. The theory has implications for the optimal provision of risk-free bonds, the structure of asset returns, and liquidity. (C) 2011 Elsevier B.V. All rights reserved.
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