000			02931cam a22003737 4500
001			w21528
003			NBER
005			20211020105511.0
006			m o d
007			cr cnu||||||||
008			210910s2015 mau fo 000 0 eng d
100	1		_aLagos, Ricardo. _914765
245	1	0	_aMonetary Exchange in Over-the-Counter Markets: _bA Theory of Speculative Bubbles, the Fed Model, and Self-fulfilling Liquidity Crises / _cRicardo Lagos, Shengxing Zhang.
260			_aCambridge, Mass. _bNational Bureau of Economic Research _c2015.
300			_a1 online resource: _billustrations (black and white);
490	1		_aNBER working paper series _vno. w21528
500			_aSeptember 2015.
520	3		_aWe develop a model of monetary exchange in over-the-counter markets to study the effects of monetary policy on asset prices and standard measures of financial liquidity, such as bid-ask spreads, trade volume, and the incentives of dealers to supply immediacy, both by participating in the market-making activity and by holding asset inventories on their own account. The theory predicts that asset prices carry a speculative premium that reflects the asset's marketability and depends on monetary policy as well as the microstructure of the market 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. The theory also exhibits rational expectations equilibria with recurring belief driven events that resemble liquidity crises, i.e., times of sharp persistent declines in asset prices, trade volume, and dealer participation in market-making activity, accompanied by large increases in spreads and abnormally long trading delays.
530			_aHardcopy version available to institutional subscribers
538			_aSystem requirements: Adobe [Acrobat] Reader required for PDF files.
538			_aMode of access: World Wide Web.
588	0		_aPrint version record
690		7	_aD83 - Search • Learning • Information and Knowledge • Communication • Belief • Unawareness _2Journal of Economic Literature class.
690		7	_aE31 - Price Level • Inflation • Deflation _2Journal of Economic Literature class.
690		7	_aE52 - Monetary Policy _2Journal of Economic Literature class.
690		7	_aE58 - Central Banks and Their Policies _2Journal of Economic Literature class.
690		7	_aG12 - Asset Pricing • Trading Volume • Bond Interest Rates _2Journal of Economic Literature class.
700	1		_aZhang, Shengxing.
710	2		_aNational Bureau of Economic Research.
830		0	_aWorking Paper Series (National Bureau of Economic Research) _vno. w21528.
856	4	0	_uhttps://www.nber.org/papers/w21528
856			_yAcceso en línea al DOI _uhttp://dx.doi.org/10.3386/w21528
942			_2ddc _cW-PAPER
999			_c326594 _d285156