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Liquidity Effects and Market Frictions

Scott Hendry () and G-J. Zhang

DNB Staff Reports (discontinued) from Netherlands Central Bank

Abstract: The goal of this paper is to tackle two problems in standard limited-par- ticipation models: (1) an interest rate liquidity effect that is not as persist- ent as in the data; and (2) nominal variables that are unrealistically volatile. To address these problems, we introduce nominal wage and price rigidities, as well as portfolio adjustment costs and monopolistically com- petitive firms, to better understand how each of these costs affects the model economy.

Pages: 50 pages
Date: 1999
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https://www.dnb.nl/binaries/sr029_tcm46-146807.pdf (application/pdf)

Related works:
Journal Article: Liquidity Effects and Market Frictions (2001) Downloads
Working Paper: Liquidity Effects and Market Frictions (1998) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:dnb:staffs:29

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