Equilibrium Interest Rate And Liquidity Premium Under Proportional Transactions
Equilibrium Interest Rate And Liquidity Premium Under Proportional Transactions
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J with 6 = and r = R — r' . Given the investors total wealth «> = "f + -4, . The vahu-s of the liquid and illiquid portfolios over time are given by At = Wt and at — {or t < tau[ At = to, ;e^<'-"''' and a, = xvt - uv;f'''-"i'' for r^ < t < t* + A* At = ivt and Oj = for r* + A' < t. It follows that the values of r^ and A* can be calculated by noting (i) that total financial wealth Wt grows by fxp(AA*) between r* and t' + A* i. E. UV; + A- = uv;e^^* (4. 11) and (ii) that aggregate liquid financicd wealth must equal the supply of hquid assets i. E. / \e-''atdt= Ae-''(u-, -ti;.. E'"-^''Hi = (l-A. -)-- (4. 12) Using the expression for w, from equation 3. 5 as well as equations 4. 11 and 4. 12 above we obtain the values of r, * and A*. 4. 2. 2 Liquidity Premium In appendix C we show that the first order effect of transactions costs on the liquidity premium, in, is given by 1 + e-'"^* '"* = '' \. E-'^' - ^^-^^^ It is fairly easy to understand the determination of m*. Equation 4. 6 imphes that if m* were different from its value in equation 4.
What to read after Equilibrium Interest Rate And Liquidity Premium Under Proportional Transactions?
You can find similar books in the "Read Also" column, or choose other free books by Dimitri Vayanos to read online
To quickly assess the difficulty of the text, read a short excerpt:
J with 6 = and r = R — r' . Given the investors total wealth «> = "f + -4, . The vahu-s of the liquid and illiquid portfolios over time are given by At = Wt and at — {or t < tau[ At = to, ;e^<'-"''' and a, = xvt - uv;f'''-"i'' for r^ < t < t* + A* At = ivt and Oj = for r* + A' < t. It follows that the values of r^ and A* can be calculated by noting (i) that total financial wealth Wt grows by fxp(AA*) between r* and t' + A* i. E. UV; + A- = uv;e^^* (4. 11) and (ii) that aggregate liquid financicd wealth must equal the supply of hquid assets i. E. / \e-''atdt= Ae-''(u-, -ti;.. E'"-^''Hi = (l-A. -)-- (4. 12) Using the expression for w, from equation 3. 5 as well as equations 4. 11 and 4. 12 above we obtain the values of r, * and A*. 4. 2. 2 Liquidity Premium In appendix C we show that the first order effect of transactions costs on the liquidity premium, in, is given by 1 + e-'"^* '"* = '' \. E-'^' - ^^-^^^ It is fairly easy to understand the determination of m*. Equation 4. 6 imphes that if m* were different from its value in equation 4.
What to read after Equilibrium Interest Rate And Liquidity Premium Under Proportional Transactions?
You can find similar books in the "Read Also" column, or choose other free books by Dimitri Vayanos to read online
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