2013年-IMF国际货币组织全球_Monetary_Transaction_Costs_and_the_Term_Premium_38页_1mb

报告摘要

Summary of "Monetary Transaction Costs and the Term Premium"

Core Content

This working paper by Raphael A. Espinoza and Dimitrios P. Tsomocos explores the relationship between monetary transaction costs and the term premium in asset prices. The authors argue that in a monetary equilibrium, asset prices are influenced not only by the supply of liquidity by the central bank but also by the liquidity of assets and commodities themselves. This leads to a situation where asset prices are higher in liquidity-constrained states of nature, even in the absence of aggregate uncertainty.

Main Viewpoints

Liquidity and Trade Activity: Liquidity plays a crucial role in trade activity, marginal utilities, and state prices. It affects how agents allocate resources across time and states.
Term Premium: The term premium arises due to the correlation between monetary transaction costs (which are tied to short-term interest rates) and asset payoffs. This creates a risk premium in asset prices, even without aggregate uncertainty.
Monetary Costs as Transaction Costs: Monetary costs are treated as transaction costs in the model, which means they influence the pricing of assets through their effect on funding and liquidity.
Non-Neutrality of Money: Money is not neutral in the economy. It affects the quantity and price of trade, and thus has a significant impact on asset prices and the term structure of interest rates.
Cash-in-Advance Constraints: The model incorporates cash-in-advance constraints, which prevent agents from using their sales receipts immediately to purchase goods or assets. This leads to a demand for short-term borrowing and an effect on the timing of transactions.
Liquidity Parameters: Liquidity is represented by parameters that capture the difficulty of selling a commodity or asset. These parameters are state-contingent and commodity-specific.

Key Information

Monetary Equilibrium

The model is an infinite horizon exchange economy with money.
Real uncertainty can be hedged, but monetary transaction costs are un-insurable.
The Central Bank provides money in all money markets, and the short-term interest rate is inversely related to the money supply.
The model assumes that agents have heterogeneous preferences and that the quantity theory of money holds.

Liquidity and Asset Pricing

Asset prices are higher in states with tighter liquidity constraints.
This implies that the term structure of interest rates lies above levels predicted by the stochastic discount factor.
The term premium is a result of the correlation between short-term interest rates and the liquidity of the asset's payoff.

Role of Agents

Agent α is typically poor and buys goods in even-numbered periods.
Agent β is typically rich and sells goods in even-numbered periods.
In odd-numbered periods, their roles reverse.
The model shows that in periods where agent α is selling, the liquidity parameters and transaction costs influence the state prices and, consequently, asset prices.

Budget Constraints and Equilibrium

Agents face budget constraints that involve both consumption and asset holdings.
The cash-in-advance constraint requires agents to borrow in the short-term money market to finance their consumption and asset purchases.
The budget constraints are defined in terms of real and nominal quantities, and the model ensures that the equilibrium is consistent with the quantity theory of money.

Extensions and Implications

The model is extended to consider multiple commodities and more complex cash-in-advance constraints.
It also shows that the term premium is not limited to representative agent models and can exist even with additively separable utility functions.
The results imply that monetary aggregates provide additional information about economic activity, inflation, and asset prices beyond what is captured by interest rates alone.

Conclusion

The paper provides a potential explanation for the Term Premium Puzzle by linking it to liquidity constraints and monetary transaction costs.
It emphasizes that liquidity is a broader concept than just the supply of money and that it significantly affects asset prices and the term structure of interest rates.
The model is distinct from representative agent models and incorporates heterogeneity in agent behavior and preferences, making it more realistic in capturing the complexities of financial markets.

Figures and Supporting Material

Figure 1 illustrates the time and uncertainty structure of the model.
Figure 2 shows the timing of commodity, asset, and money markets.
The model's implications are supported by lemmas and propositions, including the quantity theory of money and the non-neutrality of money.

References

The paper references several key works in monetary and financial economics, including Lucas and Stokey (1983), Dubey and Geanakoplos (1992), and Lagos (2010), among others.