Dynamic liquidity in endowment economies

• 成果类型: Article
• 署名作者: Johnson, Timothy C.
• 署名单位: University of London; London Business School
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2005.05.004
• 发表日期: 2006
• 页码: 531-562
• 关键词: liquidity; liquidity risk; asset pricing

摘要

This paper analyzes endogenous variations in aggregate liquidity that arise in standard representative-agent endowment economies. I introduce a natural definition of liquidity, essentially a shadow elasticity, that characterizes the price impact function or bid/ask spread that a small trader would experience. I compute this quantity for some tractable examples and uncover a rich variety of predictions that, in some cases, appear consistent with levels and covariations observed in the data. The results have important implications for the pricing and hedging of liquidity risk. (c) 2005 Published by Elsevier B.V.