Asset Returns with Transactions Cost and Uninsured Risk: A Stage III Exercise

S. Rao Aiyagari and Mark Gertler ()

No 3481, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: (iii) Transaction velocities are much higher for liquid assets than for stocks, specifically, we explore the extent to which incorporating an explicit motive for holding liquid assets can explain the above observations. We introduce a demand for liquid assets by adding uninsured individual risk together with differential costs of trading securities. We then parameterize a class of such models and compute the stationary equilibria. The simulations indicate that attempting to match the return data generates a ratio of liquid assets to income considerably be low observed levels. We then explore some possible reasons for this discrepancy.

Date: 1990-10
Note: ME
View list of references View citations in EconPapers

Downloads: (external link)
http://www.nber.org/papers/w3481.pdf (application/pdf)
Access to the full text is generally limited to series subscribers, however if the top level domain of the client browser is in a developing country or transition economy free access is provided. More information about subscriptions and free access is available at http://www.nber.org/wwphelp.html.

Related works:
Working Paper: asset returns with transactions costs and uninsured individual risk: a stage iii exercise
Journal Article: asset returns with transactions costs and uninsured individual risk
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:nbr:nberwo:3481

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w3481
The price is Paper copy available by mail.

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc
Address: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
Contact information at EDIRC.
Series data maintained by ().