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dc.contributor.authorRavikumar, B.en_US
dc.contributor.authorShao, Enchuanen_US
dc.date.accessioned2011-12-15T12:56:27Z-
dc.date.available2011-12-15T12:56:27Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/53829-
dc.description.abstractWe examine the quantitative effect of search frictions in product markets on asset price volatility. We combine several features from Shi (1997) and Lagos and Wright (2002) in a model without money. Households prefer special goods and general goods. Special goods can be obtained only via a search in decentralized markets. General goods can be obtained via trade in centralized competitive markets and via ownership of an asset. There is only one asset in our model that yields general goods. The asset is also used as a medium of exchange in the decentralized market to obtain the special goods. The value of the asset in facilitating transactions in the decentralized market is determined endogenously. This transaction role makes the asset pricing implications of our model different from those in the standard asset pricing model. Our model not only delivers the observed average rate of return on equity and the volatility of the equity price, but also accounts for most of the spectral characteristics of the equity price.en_US
dc.language.isoengen_US
dc.publisherBank of Canada Ottawaen_US
dc.relation.ispartofseriesBank of Canada Working Paper 2010,1en_US
dc.subject.jelE44en_US
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keywordFinancial marketsen_US
dc.subject.keywordMarket structure and pricingen_US
dc.subject.stwNachfrageen_US
dc.subject.stwInformationskostenen_US
dc.subject.stwPreisen_US
dc.subject.stwVolatilit├Ąten_US
dc.subject.stwFinanzmarkten_US
dc.subject.stwMarktstrukturen_US
dc.subject.stwCapital Asset Pricing Modelen_US
dc.titleSearch frictions and asset price volatilityen_US
dc.typeWorking Paperen_US
dc.identifier.ppn618956921en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
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