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Equilibrium interest rate and liquidity premium with transaction costs

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Cited by:

  1. Martin Herdegen & Johannes Muhle-Karbe & Dylan Possamaï, 2021. "Equilibrium asset pricing with transaction costs," Finance and Stochastics, Springer, vol. 25(2), pages 231-275, April.
  2. Andros Gregoriou & Christos Ioannidis, 2007. "Generalized method of moments and present value tests of the consumption-capital asset pricing model under transactions costs: evidence from the UK stock market," Empirical Economics, Springer, vol. 32(1), pages 19-39, April.
  3. Zhiwu Chen & Peng Xiong, 2001. "Discounts On Illiquid Stocks: Evidence From China," Yale School of Management Working Papers ysm232, Yale School of Management, revised 01 Sep 2002.
  4. Dahai Yu, 1998. "Equilibrium liquidity premia," International Finance Discussion Papers 615, Board of Governors of the Federal Reserve System (U.S.).
  5. Adrian Buss & Bernard Dumas, 2019. "The Dynamic Properties of Financial‐Market Equilibrium with Trading Fees," Journal of Finance, American Finance Association, vol. 74(2), pages 795-844, April.
  6. Kim Weston & Gordan Zitkovic, 2018. "An incomplete equilibrium with a stochastic annuity," Papers 1809.05947, arXiv.org.
  7. Weill, Pierre-Olivier, 2008. "Liquidity premia in dynamic bargaining markets," Journal of Economic Theory, Elsevier, vol. 140(1), pages 66-96, May.
  8. Couzoff, Panagiotis & Banerjee, Shantanu & Pawlina, Grzegorz, 2022. "Effectiveness of monitoring, managerial entrenchment, and corporate cash holdings," Journal of Corporate Finance, Elsevier, vol. 77(C).
  9. Martin Herdegen & Johannes Muhle-Karbe, 2018. "Stability of Radner equilibria with respect to small frictions," Finance and Stochastics, Springer, vol. 22(2), pages 443-502, April.
  10. Acharya, Viral V. & Pedersen, Lasse Heje, 2005. "Asset pricing with liquidity risk," Journal of Financial Economics, Elsevier, vol. 77(2), pages 375-410, August.
  11. Nicolae Gârleanu & Lasse Heje Pedersen, 2013. "Dynamic Trading with Predictable Returns and Transaction Costs," Journal of Finance, American Finance Association, vol. 68(6), pages 2309-2340, December.
  12. Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2007. "The Demand for Treasury Debt," NBER Working Papers 12881, National Bureau of Economic Research, Inc.
  13. Anginer, Deniz & Han, Xue Snow & Yildizhan, Celim, 2017. "Do Individual Investors Ignore Transaction Costs?," MPRA Paper 89941, University Library of Munich, Germany.
  14. Marcello Pericoli & Marco Taboga, 2015. "Decomposing euro area sovereign spreads: credit, liquidity and convenience," Temi di discussione (Economic working papers) 1021, Bank of Italy, Economic Research and International Relations Area.
  15. Dimitri Vayanos & Jiang Wang, 2009. "Liquidity and Asset Prices: A Unified Framework," NBER Working Papers 15215, National Bureau of Economic Research, Inc.
  16. Ewerhart, C. & Valla, N., 2007. "Forced Portfolio Liquidation," Working papers 179, Banque de France.
  17. Dimitri Vayanos & Pierre‐Olivier Weill, 2008. "A Search‐Based Theory of the On‐the‐Run Phenomenon," Journal of Finance, American Finance Association, vol. 63(3), pages 1361-1398, June.
  18. Albuquerque, Rui & Song, Shiyun & Yao, Chen, 2017. "The Price Effects of Liquidity Shocks: A Study of SEC’s Tick-Size Experiment," CEPR Discussion Papers 12486, C.E.P.R. Discussion Papers.
  19. Vayanos, Dimitri & Wang, Tan, 2007. "Search and endogenous concentration of liquidity in asset markets," Journal of Economic Theory, Elsevier, vol. 136(1), pages 66-104, September.
  20. Gârleanu, Nicolae & Pedersen, Lasse Heje, 2016. "Dynamic portfolio choice with frictions," Journal of Economic Theory, Elsevier, vol. 165(C), pages 487-516.
  21. Hasman, Augusto & Samartín, Margarita & van Bommel, Jos, 2014. "Financial intermediation in an overlapping generations model with transaction costs," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 111-125.
  22. Vayanos, Dimitri, 2004. "Flight to quality, flight to liquidity, and the pricing of risk," LSE Research Online Documents on Economics 456, London School of Economics and Political Science, LSE Library.
  23. Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity -- Theory and Empirical Evidence," NBER Working Papers 18251, National Bureau of Economic Research, Inc.
  24. Gianluca Cassese, 2017. "Asset pricing in an imperfect world," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(3), pages 539-570, October.
  25. Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2012. "The Aggregate Demand for Treasury Debt," Journal of Political Economy, University of Chicago Press, vol. 120(2), pages 233-267.
  26. Hui Huang & John Whalley & Shunming Zhang, 2009. "Exploring policy options in joint intertemporal-spatial trade models using an incomplete markets approach," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 41(1), pages 131-145, October.
  27. Mohanad ISMAEL, 2009. "Social Inequalities and Macroeconomic Instability," EcoMod2009 21500044, EcoMod.
  28. Eduardo Dávila & Cecilia Parlatore, 2021. "Trading Costs and Informational Efficiency," Journal of Finance, American Finance Association, vol. 76(3), pages 1471-1539, June.
  29. Buss, Adrian & Uppal, Raman & Vilkov, Grigory, 2015. "Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs," SAFE Working Paper Series 41, Leibniz Institute for Financial Research SAFE, revised 2015.
  30. Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2004. "Asset Prices and Trading Volume under Fixed Transactions Costs," Journal of Political Economy, University of Chicago Press, vol. 112(5), pages 1054-1090, October.
  31. Lewis, Kurt F. & Longstaff, Francis A. & Petrasek, Lubomir, 2021. "Asset mispricing," Journal of Financial Economics, Elsevier, vol. 141(3), pages 981-1006.
  32. Mustafa Caglayan & Tho Pham & Oleksandr Talavera & Xiong Xiong, 2019. "Asset mispricing in loan secondary markets," Discussion Papers 19-07, Department of Economics, University of Birmingham.
  33. Huang, Ming, 2003. "Liquidity shocks and equilibrium liquidity premia," Journal of Economic Theory, Elsevier, vol. 109(1), pages 104-129, March.
  34. R. Jankowitsch & H. Mosenbacher & S. Pichler, 2006. "Measuring the liquidity impact on EMU government bond prices," The European Journal of Finance, Taylor & Francis Journals, vol. 12(2), pages 153-169.
  35. Anginer, Deniz & Yildizhan, Celim & Han, Xue Snow, 2017. "Do Individual Investors Ignore Transaction Costs?," MPRA Paper 79358, University Library of Munich, Germany.
  36. Massimiliano Marzo & Paolo Zagaglia, 2018. "Macroeconomic Stability in a Model with Bond Transaction Services," IJFS, MDPI, vol. 6(1), pages 1-27, February.
  37. Jonas D.M. Fisher, 2015. "On the Structural Interpretation of the Smets–Wouters “Risk Premium” Shock," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(2-3), pages 511-516, March.
  38. Efraim Benmelech & Nittai Bergman, 2018. "Debt, Information, and Illiquidity," NBER Working Papers 25054, National Bureau of Economic Research, Inc.
  39. Eunjung Noh & Kim Weston, 2020. "Price impact equilibrium with transaction costs and TWAP trading," Papers 2002.08286, arXiv.org.
  40. Donal Smith, 2020. "Collateral Constraints and the Interest Rate," Scottish Journal of Political Economy, Scottish Economic Society, vol. 67(2), pages 137-165, May.
  41. Chau, Minh, 2002. "A Dynamic equilibrium with small fixed transactions costs," ESSEC Working Papers DR 02025, ESSEC Research Center, ESSEC Business School.
  42. Golec, Pascal & Perotti, Enrico, 2017. "Safe assets: a review," Working Paper Series 2035, European Central Bank.
  43. Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2010. "Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle," NBER Working Papers 16358, National Bureau of Economic Research, Inc.
  44. Eisfeldt, Andrea L., 2007. "Smoothing with liquid and illiquid assets," Journal of Monetary Economics, Elsevier, vol. 54(6), pages 1572-1586, September.
  45. Chollete, Lorán & Næs, Randi & Skjeltorp, Johannes A., 2006. "Pricing Implications of Shared Variance in Liquidity Measures," Discussion Papers 2006/9, Norwegian School of Economics, Department of Business and Management Science, revised 21 Jun 2007.
  46. Xiong, Qizhou, 2018. "The liquidity premium of safe assets: The role of government debt supply," IWH Discussion Papers 11/2017, Halle Institute for Economic Research (IWH), revised 2018.
  47. Kim Weston, 2017. "Existence of a Radner equilibrium in a model with transaction costs," Papers 1702.01706, arXiv.org, revised Feb 2018.
  48. Marshall, Ben R. & Young, Martin, 2003. "Liquidity and stock returns in pure order-driven markets: evidence from the Australian stock market," International Review of Financial Analysis, Elsevier, vol. 12(2), pages 173-188.
  49. Stephanie Heck, 2022. "Corporate bond yields and returns: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 179-201, June.
  50. Francis A. Longstaff, 2018. "Valuing Thinly Traded Assets," Management Science, INFORMS, vol. 64(8), pages 3868-3878, August.
  51. Zhiwu Chen & Peng Xiong, 2001. "Discounts On Illiquid Stocks: Evidence From China," Yale School of Management Working Papers ysm232, Yale School of Management, revised 01 Sep 2002.
  52. Francis Longstaff, 2014. "Valuing Thinly-Traded Assets," NBER Working Papers 20589, National Bureau of Economic Research, Inc.
  53. Matthew Pritsker, 2005. "Large investors: implications for equilibrium asset, returns, shock absorption, and liquidity," Finance and Economics Discussion Series 2005-36, Board of Governors of the Federal Reserve System (U.S.).
  54. Isaenko, Sergey, 2023. "Transaction costs, frequent trading, and stock prices," Journal of Financial Markets, Elsevier, vol. 64(C).
  55. Giuseppe Buccheri & Davide Pirino & Luca Trapin, 2021. "Managing liquidity with portfolio staleness," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 215-239, June.
  56. Johannes Muhle‐Karbe & Marcel Nutz & Xiaowei Tan, 2020. "Asset pricing with heterogeneous beliefs and illiquidity," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1392-1421, October.
  57. Sugato Chakravarty & Asani Sarkar, 1999. "Liquidity in U.S. fixed income markets: a comparison of the bid-ask spread in corporate, government and municipal bond markets," Staff Reports 73, Federal Reserve Bank of New York.
  58. Barbieri Hermitte, Riccardo & Cagnazzo, Alberto & Favero, Carlo A. & Felici, Francesco & Macauda, Valeria & Nucci, Francesco & Tegami, Cristian, 2023. "ITFIN: A stock-flow consistent model for the Italian economy," Economic Modelling, Elsevier, vol. 119(C).
  59. Kim Weston & Gordan Žitković, 2020. "An incomplete equilibrium with a stochastic annuity," Finance and Stochastics, Springer, vol. 24(2), pages 359-382, April.
  60. Thomas M. Eisenbach & Gregory Phelan, 2022. "Fragility of Safe Asset Markets," Staff Reports 1026, Federal Reserve Bank of New York.
  61. Vayanos, Dimitri & Wang, Jiang, 2013. "Market Liquidity—Theory and Empirical Evidence ," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1289-1361, Elsevier.
  62. Cebiroglu, Gökhan & Hautsch, Nikolaus & Walsh, Christopher, 2019. "Revisiting the stealth trading hypothesis: Does time-varying liquidity explain the size-effect?," CFS Working Paper Series 625, Center for Financial Studies (CFS).
  63. Johannes Muhle-Karbe & Marcel Nutz & Xiaowei Tan, 2019. "Asset Pricing with Heterogeneous Beliefs and Illiquidity," Papers 1905.05730, arXiv.org, revised Mar 2020.
  64. Dumas, Bernard & Buss, Adrian, 2015. "Trading Fees and Slow-Moving Capital," CEPR Discussion Papers 10737, C.E.P.R. Discussion Papers.
  65. Caglayan, Mustafa & Pham, Tho & Talavera, Oleksandr & Xiong, Xiong, 2020. "Asset mispricing in peer-to-peer loan secondary markets," Journal of Corporate Finance, Elsevier, vol. 65(C).
  66. Bruno Bouchard & Masaaki Fukasawa & Martin Herdegen & Johannes Muhle-Karbe, 2018. "Equilibrium Returns with Transaction Costs," Post-Print hal-01569408, HAL.
  67. Jin Hyuk Choi & Jetlir Duraj & Kim Weston, 2023. "A multi-agent targeted trading equilibrium with transaction costs," Papers 2306.08519, arXiv.org.
  68. Lukas Gonon & Johannes Muhle-Karbe & Xiaofei Shi, 2019. "Asset Pricing with General Transaction Costs: Theory and Numerics," Papers 1905.05027, arXiv.org, revised Apr 2020.
  69. Albuquerque, Rui & Song, Shiyun & Yao, Chen, 2020. "The price effects of liquidity shocks: A study of the SEC’s tick size experiment," Journal of Financial Economics, Elsevier, vol. 138(3), pages 700-724.
  70. Bruno Bouchard & Masaaki Fukasawa & Martin Herdegen & Johannes Muhle-Karbe, 2017. "Equilibrium Returns with Transaction Costs," Papers 1707.08464, arXiv.org, revised Apr 2018.
  71. Johannes Muhle-Karbe & Xiaofei Shi & Chen Yang, 2020. "An Equilibrium Model for the Cross-Section of Liquidity Premia," Papers 2011.13625, arXiv.org.
  72. Xiao Chen & Jin Hyuk Choi & Kasper Larsen & Duane J. Seppi, 2023. "Price impact in Nash equilibria," Finance and Stochastics, Springer, vol. 27(2), pages 305-340, April.
  73. Lukas Gonon & Johannes Muhle‐Karbe & Xiaofei Shi, 2021. "Asset pricing with general transaction costs: Theory and numerics," Mathematical Finance, Wiley Blackwell, vol. 31(2), pages 595-648, April.
  74. Bruno Bouchard & Masaaki Fukasawa & Martin Herdegen & Johannes Muhle-Karbe, 2018. "Equilibrium returns with transaction costs," Finance and Stochastics, Springer, vol. 22(3), pages 569-601, July.
  75. Martin Herdegen & Johannes Muhle-Karbe & Dylan Possamai, 2019. "Equilibrium Asset Pricing with Transaction Costs," Papers 1901.10989, arXiv.org, revised Sep 2020.
  76. Keunkwan Ryu & Hyun-yeol Shin, 2010. "Liquidity as Price Effect on Time to Sale," Korean Economic Review, Korean Economic Association, vol. 26, pages 307-340.
  77. Kurt F. Lewis & Francis A. Longstaff & Lubomir Petrasek, 2017. "Asset Mispricing," NBER Working Papers 23231, National Bureau of Economic Research, Inc.
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