Title: Equilibrium Interest Rate and Liquidity Premium Under Proportional Transactions Costs Classic Reprint
Publisher: Forgotten Books
Publication Date: 2018
Language: English
ISBN 10: 0332243389
ISBN 13: 9780332243382
Binding: HRD
Condition: New
Weight: 307 grams

About this title

Synopsis

Exploring how transaction costs reshape asset returns and liquidity in a tractable over time framework.

In this study, the author develops a general equilibrium model with two assets—a liquid one traded without costs and an illiquid one with proportional costs—to understand why liquidity matters for prices and how the liquidity premium emerges. The analysis highlights how market frictions can move returns, influence saving behavior, and affect the demand for different assets over a lifetime.

See how liquidity differences translate into observable return differences between liquid and illiquid assets.
Learn how changes in transaction costs drive wealth effects and substitution effects across a life-cycle economy.
Understand why the liquidity premium can rise with the share of illiquid assets in the economy and how this shapes overall asset demand.
Grasp the qualitative implications for asset pricing and the role of market frictions in models beyond frictionless assumptions.

Ideal for readers interested in asset pricing, market frictions, and macro-finance models that incorporate real-world trading costs.
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