Equilibrium interest rate and liquidity premium with transaction costs

DOI10.1007/s001990050268zbMath0941.91037OpenAlexW2101564057MaRDI QIDQ1293736

Jean-Luc Vila, Dimitri Vayanos

Publication date: 29 June 1999

Published in: Economic Theory (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/453/

zbMATH Keywords

asset pricingoverlapping generationsgeneral equilibriumtransaction costs

Mathematics Subject Classification ID

Economic growth models (91B62) General equilibrium theory (91B50)

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Price impact equilibrium with transaction costs and TWAP trading ⋮ Exploring policy options in joint intertemporal-spatial trade models using an incomplete markets approach ⋮ Dynamic portfolio choice with frictions ⋮ Equilibrium returns with transaction costs ⋮ Effects of securities transaction taxes on depth and bid-ask spread ⋮ Existence of a Radner equilibrium in a model with transaction costs ⋮ Asset pricing with general transaction costs: Theory and numerics ⋮ Price impact in Nash equilibria ⋮ Stability of Radner equilibria with respect to small frictions ⋮ Liquidity premia in dynamic bargaining markets ⋮ Search and endogenous concentration of liquidity in asset markets ⋮ INVESTING WITH LIQUID AND ILLIQUID ASSETS ⋮ Asset pricing in an imperfect world ⋮ Financial intermediation in an overlapping generations model with transaction costs ⋮ Equilibrium asset pricing with transaction costs ⋮ Managing liquidity with portfolio staleness ⋮ Liquidity shocks and equilibrium liquidity premia. ⋮ MINIMIZING THE PROBABILITY OF LIFETIME RUIN: TWO RISKLESS ASSETS WITH TRANSACTION COSTS ⋮ An incomplete equilibrium with a stochastic annuity

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