A monetary model of bilateral over-the-counter markets

Autor:	Shengxing Zhang, Ricardo Lagos
Rok vydání:	2019
Předmět:	Economics and Econometrics Fed model Carry (investment) Yield (finance) Monetary policy Economics Asset (economics) Monetary economics Market microstructure Nominal yield Market liquidity
Zdroj:	Review of Economic Dynamics. 33:205-227
ISSN:	1094-2025
DOI:	10.1016/j.red.2019.01.004
Popis:	We develop a model of monetary exchange in bilateral over-the-counter markets to study the effects of monetary policy on asset prices and financial liquidity. The theory predicts asset prices carry a speculative premium that reflects the asset's marketability and depends on monetary policy and the market microstructure where it is traded. These liquidity considerations imply a positive correlation between the real yield on such assets as stocks and housing and the nominal yield on Treasury bonds—an empirical observation long regarded anomalous. We provide novel theoretical implications and empirical evidence regarding the effect of monetary policy on the liquidity of these markets.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::9bb04dc177a99cd03d23d63c0bc825e2 https://doi.org/10.1016/j.red.2019.01.004 Zobrazit plný text záznamu Full Text from ScienceDirect