An Equilibrium Model of Institutional Demand and Asset Prices

2014 ◽  
Author(s):  
Ralph S. J. Koijen ◽  
Motohiro Yogo
Keyword(s):  
Equilibrium Model ◽  
Asset Prices ◽  
Institutional Demand

scholarly journals Money and Asset Liquidity in Frictional Capital Markets

2016 ◽  
Vol 106 (5) ◽  
pp. 496-502 ◽  
Author(s):  
Wei Cui ◽  
Sören Radde
Keyword(s):  
General Equilibrium ◽  
Capital Markets ◽  
Equilibrium Model ◽  
Asset Prices ◽  
Financing Constraints ◽  
Search Frictions ◽  
Liquidity Premium ◽  
Fiat Money ◽  
Dynamic General Equilibrium Model ◽  
Asset Liquidity

We endogenize asset liquidity and financing constraints in a dynamic general equilibrium model with search frictions on capital markets. Assets traded on frictional capital markets are only partially saleable. Liquid assets, such as fiat money, instead, are not subject to search frictions and can be used to insure idiosyncratic investment risks. Partially saleable assets thus carry a liquidity premium over fully liquid assets. We show that, in equilibrium, low asset saleability is typically associated with lower asset prices, tighter financing constraints, thus stronger demand for public liquidity. Lower asset liquidity feeds into real allocations, constraining real investment, consumption, and production.

An Intertemporal General Equilibrium Model of Asset Prices

Econometrica ◽  
1985 ◽  
Vol 53 (2) ◽  
pp. 363 ◽  
Author(s):  
John C. Cox ◽  
Jonathan E. Ingersoll ◽  
Stephen A. Ross
Keyword(s):  
General Equilibrium ◽  
Equilibrium Model ◽  
Asset Prices ◽  
General Equilibrium Model

Asset Prices and Default‐Free Term Structure in an Equilibrium Model of Default

2005 ◽  
Vol 78 (3) ◽  
pp. 997-1022 ◽  
Author(s):  
Ganlin Chang ◽  
Suresh M. Sundaresan
Keyword(s):  
Term Structure ◽  
Equilibrium Model ◽  
Asset Prices ◽  
Free Term
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