Liquidity shocks and equilibrium liquidity premia

• 成果类型: Article
• 署名作者: Huang, M
• 署名单位: Stanford University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/S0022-0531(02)00039-X
• 发表日期: 2003
• 页码: 104-129
• 关键词: liquidity shocks; Liquidity premium

摘要

We study an equilibrium in which agents face surprise liquidity shocks and invest in liquid and illiquid riskless assets. The random holding horizon from liquidity shocks makes the return of the illiquid security risky. The equilibrium premium for such risk depends on the constraint that agents face when borrowing against future income; it is insignificant without borrowing constraint, but can be very high with borrowing constraint. Illiquidity, therefore, can have large effects on asset returns when agents face liquidity shocks and borrowing constraints. This result can help us understand why some securities have high liquidity premia, despite low turnover frequency. (C) 2003 Elsevier Science (USA). All rights reserved.