Asset Liquidity in Monetary Theory and Finance: A Unified Approach
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Madison, Florian, 2019.
"Frictional asset reallocation under adverse selection,"
Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 115-130.
- Florian Madison, 2017. "Frictional asset reallocation under adverse selection," ECON - Working Papers 261, Department of Economics - University of Zurich, revised Jan 2018.
- 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.
- Vayanos, Dimitri & Weill, Pierre-Olivier, 2005. "A search-based theory of the on-the-run phenomenon," LSE Research Online Documents on Economics 459, London School of Economics and Political Science, LSE Library.
- Vayanos, Dimitri & Weill, Pierre-Olivier, 2007. "A search-based theory of the on-the-run phenomenon," LSE Research Online Documents on Economics 24474, London School of Economics and Political Science, LSE Library.
- Pierre-Olivier Weill & Dimitri Vayanos, 2007. "A Search-Based Theory of the On-the-Run Phenomenon," FMG Discussion Papers dp577, Financial Markets Group.
- Vayanos, Dimitri & Weill, Pierre-Olivier, 2006. "A Search-Based Theory of the On-the-Run Phenomenon," CEPR Discussion Papers 5965, C.E.P.R. Discussion Papers.
- Pierre-Olivier Weill & Dimitri Vayanos, 2005. "A Search-Based Theory of the On-the-Run Phenomenon," 2005 Meeting Papers 701, Society for Economic Dynamics.
- Dimitri Vayanos & Pierre-Olivier Weill, 2006. "A Search-Based Theory of the On-the-Run Phenomenon," NBER Working Papers 12670, National Bureau of Economic Research, Inc.
- Herrenbrueck, Lucas, 2019. "Frictional asset markets and the liquidity channel of monetary policy," Journal of Economic Theory, Elsevier, vol. 181(C), pages 82-120.
- David Andolfatto & Fernando Martin, 2013.
"Information Disclosure and Exchange Media,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 16(3), pages 527-539, July.
- David Andolfatto & Fernando M. Martin, 2012. "Information disclosure and exchange media," Working Papers 2012-012, Federal Reserve Bank of St. Louis.
- Semih Üslü, 2019.
"Pricing and Liquidity in Decentralized Asset Markets,"
Econometrica, Econometric Society, vol. 87(6), pages 2079-2140, November.
- Uslu, Semih, 2015. "Pricing and Liquidity in Decentralized Asset Markets," MPRA Paper 73901, University Library of Munich, Germany, revised 21 Sep 2016.
- Semih Uslu, 2016. "Pricing and Liquidity in Decentralized Asset Markets," 2016 Meeting Papers 128, Society for Economic Dynamics.
- Benjamin Lester & Andrew Postlewaite & Randall Wright, 2012. "Information, Liquidity, Asset Prices, and Monetary Policy," Review of Economic Studies, Oxford University Press, vol. 79(3), pages 1209-1238.
- Herrenbrueck, Lucas & Geromichalos, Athanasios, 2017.
"A tractable model of indirect asset liquidity,"
Journal of Economic Theory, Elsevier, vol. 168(C), pages 252-260.
- Herrenbrueck, Lucas & Geromichalos, Athanasios, 2015. "A Tractable Model of Indirect Asset Liquidity," MPRA Paper 68521, University Library of Munich, Germany.
- Athanasios Geromichalos & Lucas Herrenbrueck, 2015. "A Tractable Model of Indirect Asset Liquidity," Working Papers 126, University of California, Davis, Department of Economics.
- Lucas Herrenbrueck & Athanasios Geromichalos, 2015. "A Tractable Model of Indirect Asset Liquidity," Discussion Papers dp15-08, Department of Economics, Simon Fraser University.
- Mattesini, Fabrizio & Nosal, Ed, 2016. "Liquidity and asset prices in a monetary model with OTC asset markets," Journal of Economic Theory, Elsevier, vol. 164(C), pages 187-217.
- Venky Venkateswaran & Randall Wright, 2014.
"Pledgability and Liquidity: A New Monetarist Model of Financial and Macroeconomic Activity,"
NBER Macroeconomics Annual, University of Chicago Press, vol. 28(1), pages 227-270.
- Venky Venkateswaran & Randall Wright, 2013. "Pledgability and Liquidity: A New Monetarist Model of Financial and Macroeconomic Activity," NBER Chapters, in: NBER Macroeconomics Annual 2013, Volume 28, pages 227-270, National Bureau of Economic Research, Inc.
- Venky Venkateswaran & Randall Wright, 2013. "Pledgability and Liquidity: A New Monetarist Model of Financial and Macroeconomic Activity," NBER Working Papers 19009, National Bureau of Economic Research, Inc.
- Ricardo Lagos & Randall Wright, 2005.
"A Unified Framework for Monetary Theory and Policy Analysis,"
Journal of Political Economy, University of Chicago Press, vol. 113(3), pages 463-484, June.
- Ricardo Lagos & Randall Wright, 2002. "A unified framework for monetary theory and policy analysis," Working Papers (Old Series) 0211, Federal Reserve Bank of Cleveland.
- Ricardo Lagos & Randall Wright, 2004. "A unified framework for monetary theory and policy analysis," Staff Report 346, Federal Reserve Bank of Minneapolis.
- Aleksander Berentsen & Samuel Huber & Alessandro Marchesiani, 2014.
"Degreasing The Wheels Of Finance,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 55, pages 735-763, August.
- Aleksander Berentsen & Samuel Huber & Alessandro Marchesiani, 2012. "Degreasing the wheels of finance," ECON - Working Papers 101, Department of Economics - University of Zurich.
- Jung, Kuk Mo & Lee, Seungduck, 2015. "A Liquidity-Based Resolution of the Uncovered Interest Parity Puzzle," MPRA Paper 64164, University Library of Munich, Germany.
- Jung, Kuk Mo & Pyun, Ju Hyun, 2016.
"International reserves for emerging economies: A liquidity approach,"
Journal of International Money and Finance, Elsevier, vol. 68(C), pages 230-257.
- Jung, Kuk Mo & Pyun, Ju Hyun, 2015. "International Reserves for Emerging Economies: A Liquidity Approach," MPRA Paper 64235, University Library of Munich, Germany.
- David Andolfatto, 2011. "Undue Diligence," 2011 Meeting Papers 994, Society for Economic Dynamics.
- 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.
- Zachary Bethune & Bruno Sultanum & Nicholas Trachter, 2016.
"Private Information in Over-the-Counter Markets,"
Working Paper
16-16, Federal Reserve Bank of Richmond.
- Bruno Sultanum & Zachary Bethune, 2016. "Decentralized Trade with Private Values," 2016 Meeting Papers 1630, Society for Economic Dynamics.
- Ricardo Lagos & Shengxing Zhang, 2015. "Monetary Exchange in Over-the-Counter Markets: A Theory of Speculative Bubbles, the Fed Model, and Self-fulfilling Liquidity Crises," NBER Working Papers 21528, National Bureau of Economic Research, Inc.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Luis Araujo & Leo Ferraris, 2020. "Money, Bonds, and the Liquidity Trap," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(7), pages 1853-1867, October.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Geromichalos, Athanasios & Jung, Kuk Mo & Lee, Seungduck & Carlos, Dillon, 2021. "A model of endogenous direct and indirect asset liquidity," European Economic Review, Elsevier, vol. 132(C).
- Athanasios Geromichalos & Kuk Mo Jung & Seungduck Lee & Dillon Carlos, 2019. "Asset Liquidity in Monetary Theory and Finance: A Unified Approach," Working Papers 1905, Research Institute for Market Economy, Sogang University.
- Athanasios Geromichalos & Lucas Herrenbrueck, 2016.
"The Strategic Determination of the Supply of Liquid Assets,"
Working Papers
183, University of California, Davis, Department of Economics.
- Geromichalos, Athanasios & Herrenbrueck, Lucas, 2016. "The Strategic Determination of the Supply of Liquid Assets," MPRA Paper 71454, University Library of Munich, Germany.
- Athanasios Geromichalos & Lucas Herrenbrueck & Sukjoon Lee, 2018. "Asset Safety versus Asset Liquidity," Working Papers 326, University of California, Davis, Department of Economics.
- Geromichalos, Athanasios & Herrenbrueck, Lucas, 2016.
"The Strategic Determination of the Supply of Liquid Assets,"
MPRA Paper
71454, University Library of Munich, Germany.
- Athanasios Geromichalos & Lucas Herrenbrueck, 2016. "The Strategic Determination of the Supply of Liquid Assets," Working Papers 161, University of California, Davis, Department of Economics.
- Athanasios, Geromichalos & Kuk Mo, Jung, 2016. "Monetary Policy and Efficiency in Over-the-Counter Financial Trade," MPRA Paper 71455, University Library of Munich, Germany.
- Athanasios Geromichalos & Kuk Mo Jung, 2019. "Monetary Policy and Efficiency in Over-the-Counter Financial Trade," Working Papers 1903, Research Institute for Market Economy, Sogang University.
- Lee, Sukjoon, 2020. "Liquidity Premium, Credit Costs, and Optimal Monetary Policy," MPRA Paper 104825, University Library of Munich, Germany.
- Herrenbrueck, Lucas, 2014.
"Quantitative Easing and the Liquidity Channel of Monetary Policy,"
MPRA Paper
70686, University Library of Munich, Germany, revised 10 Apr 2016.
- Lucas Herrenbrueck, 2016. "Quantitative Easing and the Liquidity Channel of Monetary Policy," 2016 Meeting Papers 767, Society for Economic Dynamics.
- Lucas Herrenbrueck, 2014. "Quantitative Easing and the Liquidity Channel of Monetary Policy," Discussion Papers dp14-09, Department of Economics, Simon Fraser University, revised Apr 2016.
- Athanasios Geromichalos & Kuk Mo Jung, 2019. "Monetary policy and efficiency in over‐the‐counter financial trade," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 52(4), pages 1699-1754, November.
- Athanasios Geromichalos & Lucas Herrenbrueck, 2017. "The Liquidity-Augmented Model of Macroeconomic Aggregates," Discussion Papers dp17-16, Department of Economics, Simon Fraser University.
- Athanasios Geromichalos & Jiwon Lee & Seungduck Lee & Keita Oikawa, 2016. "Over-the-counter trade and the value of assets as collateral," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 62(3), pages 443-475, August.
- Lucas Herrenbrueck, 2019.
"Interest Rates, Moneyness, and the Fisher Equation,"
Discussion Papers
dp19-01, Department of Economics, Simon Fraser University.
- Lucas Herrenbrueck, 2019. "Interest rates, moneyness, and the Fisher equation," 2019 Meeting Papers 1409, Society for Economic Dynamics.
- Geromichalos, Athanasios & Herrenbrueck, Lucas M. & Salyer, Kevin D., 2016.
"A search-theoretic model of the term premium,"
Theoretical Economics, Econometric Society, vol. 11(3), September.
- Kevin Salyer & Athanasios Geromichalos & Lucas Herrenbrueck, 2013. "A Search-Theoretic Model of the Term Premium," Working Papers 300, University of California, Davis, Department of Economics.
- Andolfatto, David & Martin, Fernando M. & Zhang, Shengxing, 2017.
"Rehypothecation and liquidity,"
European Economic Review, Elsevier, vol. 100(C), pages 488-505.
- David Andolfatto & Fernando M. Martin & Shengxing Zhang, 2015. "Rehypothecation and Liquidity," Working Papers 2015-3, Federal Reserve Bank of St. Louis.
- Andolfatto, David & Martin, Fernando M. & Zhang, Shengxing, 2017. "Rehypothecation and liquidity," LSE Research Online Documents on Economics 84558, London School of Economics and Political Science, LSE Library.
- Madison, Florian, 2019.
"Frictional asset reallocation under adverse selection,"
Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 115-130.
- Florian Madison, 2017. "Frictional asset reallocation under adverse selection," ECON - Working Papers 261, Department of Economics - University of Zurich, revised Jan 2018.
- Ricardo Lagos & Shengxing Zhang, 2020.
"Turnover Liquidity and the Transmission of Monetary Policy,"
American Economic Review, American Economic Association, vol. 110(6), pages 1635-1672, June.
- Ricardo Lagos & Shengxing Zhang, 2016. "Turnover Liquidity and the Transmission of Monetary Policy," Working Papers 734, Federal Reserve Bank of Minneapolis.
- Lagos, Ricardo & Zhang, Shengxing, 2020. "Turnover liquidity and the transmission of monetary policy," LSE Research Online Documents on Economics 105095, London School of Economics and Political Science, LSE Library.
- Shengxing Zhang & Ricardo Lagos, 2016. "Turnover Liquidity and the Transmission of Monetary Policy," 2016 Meeting Papers 1569, Society for Economic Dynamics.
- Ricardo Lagos & Shengxing Zhang, 2018. "Turnover Liquidity and the Transmission of Monetary Policy," NBER Working Papers 25106, National Bureau of Economic Research, Inc.
- Julien HUGONNIER & Benjamin LESTER & Pierre-Olivier WEILL, 2014.
"Heterogeneity in Decentralized Asset Markets,"
Swiss Finance Institute Research Paper Series
14-67, Swiss Finance Institute.
- Julien Hugonnier & Benjamin Lester & Pierre-Olivier Weill, 2019. "Heterogeneity in Decentralized Asset Markets," Working Papers 19-44, Federal Reserve Bank of Philadelphia.
- Hugonnier, Julien & Lester, Benjamin & Weill, Pierre-Olivier, 2020. "Heterogeneity in Decentralized Asset Markets," CEPR Discussion Papers 14274, C.E.P.R. Discussion Papers.
- Julien Hugonnier & Benjamin Lester & Pierre-Olivier Weill, 2015. "Heterogeneity in decentralized asset markets," Working Papers 15-22, Federal Reserve Bank of Philadelphia.
- Pierre-Olivier Weill & Benjamin Lester & Julien Hugonnier, 2016. "Heterogeneity in decentralized asset markets," 2016 Meeting Papers 1014, Society for Economic Dynamics.
- Hugonnier, Julien & Lester, Ben & Weill, Pierre-Olivier, 2019. "Heterogeneity in Decentralized Asset Markets," CEPR Discussion Papers 14014, C.E.P.R. Discussion Papers.
- Julien Hugonnier & Benjamin Lester & Pierre-Olivier Weill, 2014. "Heterogeneity in Decentralized Asset Markets," NBER Working Papers 20746, National Bureau of Economic Research, Inc.
- Huber, Samuel & Kim, Jaehong, 2019.
"The role of trading frictions in financial markets,"
Journal of Economic Dynamics and Control, Elsevier, vol. 99(C), pages 1-18.
- Samuel Huber & Jaehong Kim, 2015. "The role of trading frictions in financial markets," ECON - Working Papers 211, Department of Economics - University of Zurich, revised Jul 2017.
- Athanasios Geromichalos & Jiwon Lee & Seungduck Lee & Keita Oikawa, 2014. "Over-the-Counter Trade and the Value of Assets as Collateral," Working Papers 96, University of California, Davis, Department of Economics.
More about this item
Keywords
Information; Over-the-Counter Markets; Search and Matching; Liquidity; Asset prices; Monetary policy;All these keywords.
JEL classification:
- E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
- E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fields
This paper has been announced in the following NEP Reports:- NEP-DGE-2019-04-01 (Dynamic General Equilibrium)
- NEP-MAC-2019-04-01 (Macroeconomics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cda:wpaper:330. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Letters and Science IT Services Unit). General contact details of provider: https://edirc.repec.org/data/educdus.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.