TY - JOUR
T1 - Asset prices and liquidity in an exchange economy
AU - Lagos, Ricardo
N1 - Funding Information:
I am indebted to Ellen McGrattan and Fabrizio Perri for many helpful conversations at various stages. I am grateful to Nobu Kiyotaki for his feedback as a discussant at the Princeton–NY Fed Conference on Liquidity and the Philadelphia Workshop on Monetary and Macroeconomics. I thank V.V. Chari, Mark Gertler, Patrick Kehoe, Narayana Kocherlakota, Hanno Lustig, Erzo G.J. Luttmer, Monika Piazzesi, Ed Prescott, Guillaume Rocheteau, Tom Sargent, Martin Schneider, Pierre-Olivier Weill, Michael Woodford, and Randy Wright for their input. I also thank Katya Kartashova for many useful comments on previous drafts. Daniil Manaenkov, Carlos Serrano, and Jing Zhang provided research assistance. Financial support from the C.V. Starr Center for Applied Economics at NYU is gratefully acknowledged.
Copyright:
Copyright 2010 Elsevier B.V., All rights reserved.
PY - 2010/11
Y1 - 2010/11
N2 - An asset-pricing model is developed, in which financial assets are valued for their liquidity-the extent to which they are useful in facilitating exchange-as well as for being claims to streams of consumption goods. The theory is used to study the implications of this liquidity channel for average asset returns, the equity-premium puzzle and the risk-free rate puzzle.
AB - An asset-pricing model is developed, in which financial assets are valued for their liquidity-the extent to which they are useful in facilitating exchange-as well as for being claims to streams of consumption goods. The theory is used to study the implications of this liquidity channel for average asset returns, the equity-premium puzzle and the risk-free rate puzzle.
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U2 - 10.1016/j.jmoneco.2010.10.006
DO - 10.1016/j.jmoneco.2010.10.006
M3 - Article
AN - SCOPUS:78649900563
VL - 57
SP - 913
EP - 930
JO - Journal of Monetary Economics
JF - Journal of Monetary Economics
SN - 0304-3932
IS - 8
ER -