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Asset Prices and Liquidity in an Exchange Economy

開催場所:
東京大学経済学研究科棟 3階 第3教室

報告者:
Ricardo Lagos 氏
New York University

要約:
I develop an asset-pricing model in which financial assets are valued for their liquidity-the extent to which they are useful in facilitating exchange-as well as for being claims to streams of consumption goods. The implications for average asset returns, the equitypremium puzzle, and the risk-free rate puzzle, are explored both analytically and quantitatively in a version of the model that nests Mehra and Prescott (1985).

備考: Macroworkshop と共催

ファイル(PDF): 資料