Liquidity and asset prices in a monetary model with OTC asset markets

• 成果类型: Article
• 署名作者: Mattesini, Fabrizio; Nosal, Ed
• 署名单位: University of Rome Tor Vergata; Federal Reserve System - USA; Federal Reserve Bank - Chicago
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2015.11.001
• 发表日期: 2016
• 页码: 187-217
• 关键词: liquidity; asset pricing; OTC markets; inflation

摘要

We study how asset prices are affected by the amount of liquidity that is available in over-the-counter asset markets where dealers post prices and quantities at which they are willing to buy and sell assets. We find that higher levels of market liquidity lead to higher asset prices and lower bid ask spreads. Hence, an increase in inflation which lowers market liquidity increases asset returns and decreases asset prices. When agents' immediate consumption needs are stochastic, asset prices will fluctuate even though asset fundamentals are unchanging. The fluctuations in asset prices reflect the stochastic availability of market liquidity that results from agents' changing consumption opportunities. (C) 2015 Elsevier Inc. All rights reserved.