DEGREASING THE WHEELS OF FINANCE

被引：32
作者：
Berentsen, Aleksander
Huber, Samuel
Marchesiani, Alessandro
机构：
[1] Univ Basel, CH-4002 Basel, Switzerland
[2] Fed Reserve Bank St Louis, St Louis, MO USA
[3] Univ Minho, P-4719 Braga, Portugal
来源：
INTERNATIONAL ECONOMIC REVIEW | 2014年 / 55卷 / 03期
关键词：
ASSET MARKETS; MONETARY-ECONOMICS; SOCIETAL BENEFITS; ILLIQUID BONDS; SUDDEN STOPS; LIQUIDITY; MONEY; SEARCH; PRICES; POLICY;
D O I：
10.1111/iere.12069
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Can there be too much trading in financial markets? We construct a dynamic general equilibrium model, where agents face idiosyncratic liquidity shocks. A financial market allows agents to adjust their portfolio of liquid and illiquid assets in response to these shocks. The optimal policy is to restrict access to this market because portfolio choices exhibit a pecuniary externality: Agents do not take into account that by holding more of the liquid asset, they not only acquire additional insurance against these liquidity shocks, but also marginally increase the value of the liquid asset, which improves insurance for other market participants.
引用
收藏
页码：735 / 763
页数：29
相关论文
共 45 条
  • [1] Anonymous markets and monetary trading
    Aliprantis, C. D.
    Camera, G.
    Puzzello, D.
    [J]. JOURNAL OF MONETARY ECONOMICS, 2007, 54 (07) : 1905 - 1928
  • [2] A note on the societal benefits of illiquid bonds
    Andolfatto, David
    [J]. CANADIAN JOURNAL OF ECONOMICS-REVUE CANADIENNE D ECONOMIQUE, 2011, 44 (01): : 133 - 147
  • [3] Social norms and money
    Araujo, L
    [J]. JOURNAL OF MONETARY ECONOMICS, 2004, 51 (02) : 241 - 256
  • [4] The essentiality of money in environments with centralized trade
    Araujo, Luis
    Camargo, Braz
    Minetti, Raoul
    Puzzello, Daniela
    [J]. JOURNAL OF MONETARY ECONOMICS, 2012, 59 (07) : 612 - 621
  • [5] ARUOBA S. B., 2007, J ECON THEORY, V135, P171
  • [6] Bargaining and the value of money
    Aruoba, S. Boragan
    Rocheteau, Guillaume
    Waller, Christopher
    [J]. JOURNAL OF MONETARY ECONOMICS, 2007, 54 (08) : 2636 - 2655
  • [7] Money and capital
    Aruoba, S. Boragan
    Waller, Christopher J.
    Wright, Randall
    [J]. JOURNAL OF MONETARY ECONOMICS, 2011, 58 (02) : 98 - 116
  • [8] BERENTSEN A., 2011, 32 U ZURICH DEP EC
  • [9] Outside versus inside bonds: A Modigliani-Miller type result for liquidity constrained economies
    Berentsen, Aleksander
    Waller, Christopher
    [J]. JOURNAL OF ECONOMIC THEORY, 2011, 146 (05) : 1852 - 1887
  • [10] Inflation and Unemployment in the Long Run
    Berentsen, Aleksander
    Menzio, Guido
    Wright, Randall
    [J]. AMERICAN ECONOMIC REVIEW, 2011, 101 (01) : 371 - 398
12345