Asset Returns with Transactions Cost and Uninsured Risk: A Stage III Exercise /
(iii) Transaction velocities are much higher for liquid assets than for stocks, specifically, we explore the extent to which incorporating an explicit motive for holding liquid assets can explain the above observations. We introduce a demand for liquid assets by adding uninsured individual risk toge...
Gespeichert in:
- Weitere Titel:
- Asset Returns with Transactions Cost and Uninsured Risk
- 1. Verfasser:
- Körperschaft:
- Weitere Verfasser:
- Format:
- Elektronisch E-Book
- Sprache:
- Englisch
- Veröffentlicht:
-
Cambridge, Mass.
National Bureau of Economic Research
1990.
- Zusammenfassung:
-
(iii) Transaction velocities are much higher for liquid assets than for stocks, specifically, we explore the extent to which incorporating an explicit motive for holding liquid assets can explain the above observations. We introduce a demand for liquid assets by adding uninsured individual risk together with differential costs of trading securities. We then parameterize a class of such models and compute the stationary equilibria. The simulations indicate that attempting to match the return data generates a ratio of liquid assets to income considerably be low observed levels. We then explore some possible reasons for this discrepancy.
- Umfang:
- 1 online resource: illustrations (black and white);
- Anmerkungen:
- October 1990.
- Schlagworte: