Asset Safety versus Asset Liquidity

• 成果类型: Article
• 署名作者: Geromichalos, Athanasios; Herrenbrueck, Lucas; Lee, Sukjoon
• 署名单位: University of California System; University of California Davis; Simon Fraser University; New York University; NYU Shanghai
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/722225
• 发表日期: 2023
• 页码: 1172-1212
• 关键词: monetary-policy; prices; search; INFORMATION; disclosure; MARKETS; demand; MODEL

摘要

Many economists assume that safer assets are more liquid, and some have practically used safe and liquid as synonyms. But these terms are not synonyms, and mixing them up can lead to confusion and wrong policy recommendations. We build a multiasset model where an asset's safety and liquidity are well defined and distinct, and we examine their relationship in general equilibrium. We show that the common belief that safety implies liquidity is generally justified but also identify conditions under which this relationship can be reversed. We use our model to rationalize, qualitatively and quantitatively, a prominent safety-liquidity reversal observed in the data.