Creator

• Lagos, Ricardo

Series

• Staff report (Federal Reserve Bank of Minneapolis. Research Department)

Issue number

• 373

Date created

• 2006-05

Abstract

• I develop an asset-pricing model in which financial assets are valued for their liquidity—the extent to which they are useful in facilitating exchange—as well as for being claims to streams of consumption goods. The implications for average asset returns, the equity-premium puzzle and the risk-free rate puzzle, are explored in a version of the model that nests the work of Mehra and Prescott (1985).

Subject (JEL)

• G12 - Asset Pricing; Trading Volume; Bond Interest Rates
• D42 - Market Structure, Pricing, and Design: Monopoly
• E52 - Monetary Policy

Keyword

• Exchange
• Equity Premium
• Asset Pricing
• Risk-Free Rate
• Liquidity

Related information

• Published in: Journal of Monetary Economics (Vol. 57, Issue 8, November 2010, pp. 913-930) https://doi.org/10.1016/j.jmoneco.2010.10.006.

Corporate Author

• Federal Reserve Bank of Minneapolis. Research Department

Publisher

• Federal Reserve Bank of Minneapolis

Resource type

• Research Paper

DOI

•  https://doi.org/10.21034/sr.373

License

• Creative Commons BY-NC Attribution-NonCommercial 4.0 International

In Collection:

• Staff Reports

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