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| Tekijä: | Vayanos, D. Vila, J.-L. |
| Otsikko: | Equilibrium interest rate and liquidity premium with transaction costs |
| Lehti: | Economic Theory
1999 : VOL. 13:3, p. 509-540 |
| Asiasana: | EQUILIBRIUM THEORY INTEREST RATES LIQUIDITY |
| Kieli: | eng |
| Tiivistelmä: | In this article the authors study the effects of transaction costs on asset prices. The authors assume an overlapping generations economy with two riskless assets. The first asset is liquid while the second asset carries proportional transaction costs. The authors show that agents buy the liquid asset for short-term investment and the illiquid asset for long-term investment. When transaction costs increase, the price of the liquid asset increases. |
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