Asset Returns with Transactions Cost and Uninsured Risk: A Stage III Exercise
S. Aiyagari and
Mark Gertler ()
No 3481, NBER Working Papers from National Bureau of Economic Research, Inc
(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.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Published as "Asset Returns with Transactions Costs and Uninsurable Individual Risk." Journal of Monetary Economics 27(3):311-331, June 1991.
Downloads: (external link)
Journal Article: Asset returns with transactions costs and uninsured individual risk (1991)
Working Paper: ASSET RETURNS WITH TRANSACTIONS COSTS AND UNINSURED INDIVIDUAL RISK: A STAGE III EXERCISE (1990)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:3481
Ordering information: This working paper can be ordered from
Access Statistics for this paper
More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().