English, Article, Journal or magazine article edition: Endogenous Cycles and Liquidity Risk Jos van Bommel

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Bookmark: http://trove.nla.gov.au/version/34577
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Endogenous Cycles and Liquidity Risk
Author
  • Jos van Bommel
Physical Description
  • preprint
Notes
  • Using an overlapping generations model with liquidity risk, we show that equilibrium aggregate investment and asset prices are cyclical. In an economy with neither a beginning nor an ending date, a stationary equilibrium can be obtained. In a startable equilibrium however, economic activity is highly cyclical. The first generations and consecutive odd ones invest most of their wealth in new long lived technologies, while even generations flock to seasoned claims that are sold by liquidity challenged older cohorts. We find that this liquidity driven cyclicality is driven by the optimal length of the investment horizon, not by agent live span
  • Business Cycles, Overlapping Generations, Liquidity
  • RePEc:mmf:mmfc06:149
Language
  • English
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