Reviewing Excess Liquidity Measures – A Comparison for Asset Markets
نویسندگان
چکیده
منابع مشابه
Liquidity in Asset Markets with Search Frictions∗
We develop a search-theoretic model of financial intermediation and use it to study how trading frictions affect the distribution of asset holdings, asset prices, efficiency, and standard measures of liquidity. A distinctive feature of our theory is that it allows for unrestricted asset holdings, so market participants can accommodate trading frictions by adjusting their asset positions. We sho...
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Liquidity is generally viewed as a positive characteristic of a traded asset in positive net supply. Ceteris paribus, the higher liquidity of a given asset should be reflected in a higher price or a lower required return. This issue is of particular interest if the same asset is traded in multiple markets. In this setting, apart from the effect of liquidity on pricing in each market, there is t...
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This paper examines the factors which explain the liquidity premium in the Spanish government securities market. First, we study the degree of liquidity and the relationship to the factors it depends on, observing the differences between two kinds of assets, bills and notes, and between two markets that can be considered as retail market (the Electronic Stock Exchange, ETS) and wholesale market...
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We develop a search-based model of asset trading, in which investors of different horizons can invest in two identical assets. The asset markets are partially segmented: buyers can search for only one of the assets, but can decide which one. We show that there exists a “clientele” equilibrium where one market has more buyers and sellers, lower search times, higher trading volume, higher prices,...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2011
ISSN: 1556-5068
DOI: 10.2139/ssrn.1855746