Arbeitspapier
Search-based endogenous illiquidity and the macroeconomy
We endogenize asset liquidity in a dynamic general equilibrium model with search frictions on asset markets. In the model, asset liquidity is tantamount to the ease of issuance and resaleability of private financial claims, which is driven by investors' participation on the search market. Limited resaleability of private claims creates a role for liquid assets, such as government bonds or fiat money, to ease funding constraints. We show that liquidity and asset prices positively co-move. When the capacity of the asset market to channel funds to entrepreneurs deteriorates, the hedging value of liquid assets increases. Our model is thus able to match the flight to liquidity observed during recessions. Finally, we show that investors' search market participation is more intense in a constrained efficient economy.
- Sprache
-
Englisch
- Erschienen in
-
Series: DIW Discussion Papers ; No. 1367
- Klassifikation
-
Wirtschaft
Investment; Capital; Intangible Capital; Capacity
Financial Markets and the Macroeconomy
Central Banks and Their Policies
- Thema
-
endogenous asset liquidity
search frictions
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Cui, Wei
Radde, Sören
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsches Institut für Wirtschaftsforschung (DIW)
- (wo)
-
Berlin
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Cui, Wei
- Radde, Sören
- Deutsches Institut für Wirtschaftsforschung (DIW)
Entstanden
- 2014
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