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- W3124036729 abstract "We develop a search-theory of asset liquidity which gives rise to endogenous financing constraints on investment in an otherwise standard dynamic general equilibriummodel. Asset liquidity describes the ease of issuance and resaleability of private financial claims, which is the outcome of a costly search-and-matching process for suchclaims implemented by financial intermediaries. Limited liquidity of private claims creates a role for liquid assets, such as government bonds, to ease financing constraints.We show that endogenising liquidity is essential to generate positive co-movementbetween asset liquidity and asset prices. When the cost of channelling funds to entrepreneurs rises, investment and output fall while the hedging value of liquid assetsincreases, driving up liquidity premia. In the U.S., such intermediation cost shocks canaccount for about 37% of the variation in output, and more than 78% of the variationin liquidity premia" @default.
- W3124036729 created "2021-02-01" @default.
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- W3124036729 date "2017-05-01" @default.
- W3124036729 modified "2023-09-28" @default.
- W3124036729 title "Search-based Endogenous Asset Liquidity and the Macroeconomy" @default.
- W3124036729 hasPublicationYear "2017" @default.
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