Asset Prices, Liquidity, and Monetary Policy in an Exchange Economy

B-Tier
Journal: Journal of Money, Credit, and Banking
Year: 2011
Volume: 43
Issue: s2
Pages: 521-552

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

I formulate a model in which money coexists with equity shares on a risky aggregate endowment. Agents can use equity as a means of payment, so shocks to equity prices translate into aggregate liquidity shocks that disrupt the mechanism of exchange. I characterize a family of optimal monetary policies and find that the resulting equity prices are independent of monetary considerations. I also study a perturbation of the family of optimal policies that targets a positive constant nominal interest rate and find that in this case the real equity return includes a liquidity return that depends on monetary considerations.

Technical Details

RePEc Handle
repec:wly:jmoncb:v:43:y:2011:i:s2:p:521-552
Journal Field
Macro
Author Count
1
Added to Database
2026-01-25