Pledgability and Liquidity
AbstractThis paper models the role of assets in facilitating intertemporal exchange: because limited commitment precludes unsecured credit, buyers need to pledge assets as collateral. We develop a general equilibrium model where assets differ in terms of pledgability, and put it to work in applications to finance and macroeconomics. The framework nests standard growth and asset pricing models as special cases. We can price at currency as well as real assets, and analyze how monetary policy affects interest rates, generalizing Fishers approach. We also deliver a Tobin effect of inflation on capital accumulation. We study liquidity differentials along both extensive and intensive margins, making pledgability endogenous, while determining the terms of trade in a general way that captures standard pricing mechanisms as special cases.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Society for Economic Dynamics in its series 2012 Meeting Papers with number 601.
Date of creation: 2012
Date of revision:
Contact details of provider:
Postal: Society for Economic Dynamics Christian Zimmermann Economic Research Federal Reserve Bank of St. Louis PO Box 442 St. Louis MO 63166-0442 USA
Web page: http://www.EconomicDynamics.org/society.htm
More information through EDIRC
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-05-11 (All new papers)
- NEP-DGE-2013-05-11 (Dynamic General Equilibrium)
- NEP-MON-2013-05-11 (Monetary Economics)
- NEP-OPM-2013-05-11 (Open Economy Macroeconomic)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ferraris, Leo & Watanabe, Makoto, 2008.
"Collateral secured loans in a monetary economy,"
Journal of Economic Theory,
Elsevier, vol. 143(1), pages 405-424, November.
- Yiting Li & Guillaume Rocheteau & Pierre-Olivier Weill, 2012.
"⊇↛Liquidity and the Threat of Fraudulent Assets,"
Journal of Political Economy,
University of Chicago Press, vol. 120(5), pages 000 - 000.
- Yiting Li & Guillaume Rocheteau & Pierre-Olivier Weill, 2011. "Liquidity and the Threat of Fraudulent Assets," NBER Working Papers 17500, National Bureau of Economic Research, Inc.
- Yiting Li & Guillaume Rocheteau & Pierre-Olivier Weill, 2011. "Liquidity and the threat of fraudulent assets," Working Paper 1124, Federal Reserve Bank of Cleveland.
- Ricardo Lagos, 2006.
"Asset prices and liquidity in an exchange economy,"
373, Federal Reserve Bank of Minneapolis.
- Narayana R. Kocherlakota, 1996.
"Money is memory,"
218, Federal Reserve Bank of Minneapolis.
- Holmström, Bengt, 2013.
"Inside and Outside Liquidity,"
MIT Press Books,
The MIT Press,
edition 1, volume 1, number 0262518536, January.
- Athanasios Geromichalos & Juan M Licari & Jose Suarez-Lledo, 2007. "Monetary Policy and Asset Prices," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 10(4), pages 761-779, October.
- Nosal, Ed & Rocheteau, Guillaume, 2011. "Money, Payments, and Liquidity," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262016281, January.
- Sanches, Daniel & Williamson, Stephen, 2010.
"Money and credit with limited commitment and theft,"
Journal of Economic Theory,
Elsevier, vol. 145(4), pages 1525-1549, July.
- Williamson, Stephen & Sanches, Daniel, 2009. "Money and Credit With Limited Commitment and Theft," MPRA Paper 20690, University Library of Munich, Germany.
- Randall Wright & Cyril Monnet & Fabrizio Mattesini, 2009.
"Banking: a mechanism design approach,"
2009 Meeting Papers
635, Society for Economic Dynamics.
- Kiyotaki, Nobuhiro & Wright, Randall, 1989. "On Money as a Medium of Exchange," Journal of Political Economy, University of Chicago Press, vol. 97(4), pages 927-54, August.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Zimmermann).
If references are entirely missing, you can add them using this form.