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

Mattesini Fabrizio; Nosal Ed

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

机译：带有OTC资产市场的货币模型中的流动性和资产价格

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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.

机译：我们研究了场外资产市场中可用的流动性数量如何影响资产价格，在这些市场中交易商发布了他们愿意买卖资产的价格和数量。我们发现，较高的市场流动性导致较高的资产价格和较低的买入价差。因此，通货膨胀的增加降低了市场流动性，从而增加了资产收益率并降低了资产价格。当代理商的即时消费需求是随机的时，即使资产基本面保持不变，资产价格也会波动。资产价格的波动反映了由代理商不断变化的消费机会导致的市场流动性的随机可用性。（C）2015 Elsevier Inc.保留所有权利。

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来源
《Journal of economic theory》 |2016年第7期|187-217|共31页
作者
Mattesini Fabrizio; Nosal Ed;
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作者单位

Univ Roma Tor Vergata, Rome, Italy;

Fed Reserve Bank Chicago, Chicago, IL 60601 USA;

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原文格式 PDF
正文语种 eng
中图分类
关键词
Liquidity; Asset pricing; OTC markets; Inflation;

机译：流动性;资产定价;场外交易市场;通货膨胀;

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1. Monetary Policy, Asset Prices, and Liquidity in Over-the-Counter Markets [J] . ATHANASIOS GEROMICHALOS, LUCAS HERRENBRUECK Journal of money, credit and banking . 2016,第1期

机译：场外市场的货币政策，资产价格和流动性
2. Liquidity adjusted capital asset pricing model in an emerging market: Liquidity risk in Borsa Istanbul [J] . Erdin? Altay, Seda ?alg?c? Borsa Istanbul Review . 2019,第4期

机译：新兴市场中流动性调整后的资本资产定价模型：伊斯坦布尔证券交易所的流动性风险
3. Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles [J] . Jarrow Robert Mathematics and financial economics . 2019,第1期

机译：具有流动性风险，投资组合约束和资产价格泡沫的资本资产市场均衡
4. Excess Monetary Liquidity and Asset Prices in China: An Empirical Investigation [C] . ZHANG Xue-ying International Conference on Management Science Engineering . 2008

机译：中国的货币流动性和资产价格过剩：实证调查
5. Liquidity and asset pricing: A comparison between three-factor and three-moment capital asset pricing models. [D] . Nguyen, Duong. 2006

机译：流动性和资产定价：三要素资本资产模型和三要素资本资产定价模型之间的比较。
6. Comparison of Monetary Policy Actions and Central Bank Communication on Tackling Asset Price Bubbles—Evidence from China’s Stock Market [O] . Ou Sun, Zhixin Liu -1

机译：应对资产价格泡沫的货币政策措施和央行沟通的比较-来自中国股市的证据
7. Financial Development and the Distributional Effects of Monetary Policy Do the distributional consequences of monetary policy depend on the extent of financial development? Should optimal monetary policy vary across countries? In order to answer these questions, we develop a monetary growth production model with heterogeneous agents. In our economy, optimal policy needs to weigh the effects of policy across two groups — capital owners and individuals who hold liquid assets. While banks help limit the exposure to inflation, there are limits because money alleviates the frictions of private information and limited communication. In this environment, we compare two economies that are identical in every aspect except for their level of financial development. In a country with limited financial development, a stock market is absent. In the other, an equity market is active. In either economy, inflation adversely affects capital formation and output. Individuals who hold liquid assets are always adversely affected by inflation, but the attitude of capital owners depends on the level of financial development. In particular, in the presence of a stock market, the impact of inflation on the welfare of capital owners is non-monotonic. Nevertheless, optimal monetary policy is always more conservative at higher levels of financial development. [O] . TINA M. Edgar A. Ghossoub, TINA M. Robert R. Reedy 100

机译：金融发展和货币政策的分配效应货币政策的分配后果是否取决于金融发展的程度？各国的最优货币政策应该不同吗？为了回答这些问题，我们开发了一个具有异构代理的货币增长生产模型。在我们的经济中，最优政策需要权衡两个群体的政策效应 - 资本所有者和持有流动资产的个人。虽然银行帮助限制通胀风险，但存在限制，因为资金减轻了私人信息的摩擦和有限的沟通。在这种环境下，我们比较两个经济体在各个方面都是相同的，除了它们的金融发展水平。在金融发展有限的国家，缺乏股票市场。另一方面，股票市场活跃。在任一经济体中，通胀都会对资本形成和产出产生不利影响持有流动资产的个人总是受到通货膨胀的不利影响，但资本所有者的态度取决于金融发展的水平。特别是，在股票市场存在的情况下，通货膨胀对资本所有者福利的影响是非单调的。尽管如此，在较高的金融发展水平下，最优货币政策总是更加保守。

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

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