Turnover Liquidity and the Transmission of Monetary Policy

• 成果类型: Article
• 署名作者: Lagos, Ricardo; Zhang, Shengxing
• 署名单位: New York University; University of London; London School Economics & Political Science
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20170045
• 发表日期: 2020
• 页码: 1635-1672
• 关键词: interest-rates; stock-market; surprises; returns; matter

摘要

We provide empirical evidence of a novel liquidity-based transmission mechanism through which monetary policy influences asset markets, develop a model of this mechanism, and assess the ability of the quantitative theory to match the evidence.