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A Monetary Model of Bilateral Over-the-Counter Markets / Ricardo Lagos, Shengxing Zhang.
- Format:
- Book
- Author/Creator:
- Lagos, Ricardo.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w25239.
- NBER working paper series no. w25239
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2018.
- Summary:
- We develop a model of monetary exchange in bilateral over-the-counter markets to study the effects of monetary policy on asset prices and financial liquidity. The theory predicts asset prices carry a speculative premium that reflects the asset's marketability and depends on monetary policy and the market microstructure where it is traded. These liquidity considerations imply a positive correlation between the real yield on stocks and the nominal yield on Treasury bonds--an empirical observation long regarded anomalous.
- Notes:
- Print version record
- November 2018.
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