Smoothing with liquid and illiquid assets

• 成果类型: Article
• 署名作者: Eisfeldt, Andrea L.
• 署名单位: Northwestern University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2006.06.004
• 发表日期: 2007
• 页码: 1572-1586
• 关键词: liquidity; portfolio choice; consumption smoothing; savings

摘要

A quantitative examination of the demand for liquid assets arising from consumption smoothing motives reveals that such demand is very low. Consumers faced with income streams calibrated to match income and unemployment data and returns and transactions costs calibrated to match US Treasury Bill data almost exclusively buy and hold illiquid long term assets even though the return premium on long term assets is quite small. This is because, with standard preferences, savings are highly persistent even when risky income is not. In the calibrated model, the first order autocorrelation of savings is an order of magnitude larger than that of income. (c) 2006 Elsevier B.V. All rights reserved.