A model of the liquidity structure based on asset indivisibility

• 成果类型: Article
• 署名作者: Wallace, N
• 署名单位: Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(99)00048-3
• 发表日期: 2000
• 页码: 55-68
• 关键词: liquidity; asset yields; money

摘要

Although the notion of a liquidity structure of asset yields is widely accepted, there do not seem to be models of such a structure. Here, the liquidity of an asset is taken to be its transaction velocity, the amount traded per unit time divided by the stock. Assets are assumed to be indivisible and to differ in size. Trade using such assets is implied by pairwise matching and absence-of-double-coincidence in produced goods. It is shown that a sufficiently large asset has a lower velocity and a higher yield than a sufficiently small asset. (C) 2000 Elsevier Science B.V. All rights reserved. JEL classification: E43; G12.