منابع مشابه
Cash-in-the-Market Asset Pricing in a Monetary Model with Over-the-Counter Asset Markets
We study how asset prices are affected by the amount of “liquidity”or cash that is available in asset markets. We find that higher levels of liquidity lead to higher asset prices and lower bid-ask spreads. An increase in inflation increases asset returns and decreases asset prices. The amount of liquidity available in asset markets depends on the fraction of agents who do not have immediate con...
متن کاملOver-the-Counter Markets
We study how intermediation and asset prices in over-the-counter markets are affected by illiquidity associated with search and bargaining. We compute explicitly the prices at which investors trade with each other, as well as marketmakers’ bid and ask prices, in a dynamic model with strategic agents. Bid–ask spreads are lower if investors can more easily find other investors or have easier acce...
متن کاملCompressing over-the-counter markets
In this paper, we show both theoretically and empirically that the size of over-the-counter (OTC) markets can be reduced without affecting individual net positions. First, we find that the networked nature of these markets generates an excess of notional obligations between the aggregate gross amount and the minimum amount required to satisfy each individual net position. Second, we show condit...
متن کاملWeb Appendix: Monetary Policy, Asset Prices, and Liquidity in Over-the-Counter Markets
We begin with λ, the bargaining power of the C-type, and work with the first-order conditions of the buyers’ optimal portfolio choice described in Appendix A.1.2 of the paper. An increase in λwill decrease money demand in Regions 1, 3, and 5 (by decreasing the gradient J1). 1 However, equilibrium real balances will increase in λ if equilibrium is on the boundary of Regions 3 and 5. We obtain th...
متن کاملTrade Delay, Liquidity, and Asset Prices in Over-the-Counter Markets
In over-the-counter markets, the presence of two frictions is central to determine prices, liquidity, and efficiency: the search friction reflected in how long it takes to find a trading opportunity and the bargaining friction reflected in how promptly gains from trade are realized once the opportunity is identified. This paper captures both frictions by introducing an asset-specific trade dela...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Review of Economic Dynamics
سال: 2019
ISSN: 1094-2025
DOI: 10.1016/j.red.2019.04.003