This paper develops a method to solve and simulate cash-in-advance models of money and asset prices. The models are calibrated to US data spanning the period from 1890 to 1987 and are used to study some empirical regularities observed in the US data over this period. The phenomena which are the...

This paper develops a method to solve and simulate cash-in-advance models of money and asset prices. The models are calibrated to US data spanning the period from 1890 to 1987 and are used to study some empirical regularities observed in the US data over this period. The phenomena which are the...

Financial markets and financial intermediation may be competing mechanisms in the provision of liquidity insurance and their co-existence may adversely impact risk-sharing. The question studied here is what is the optimal central bank policy when there is private information about liquidity...

This paper studies recent models of the liquidity effect of money on interest rates to determine if a systematic relationship between liquidity shocks and the economy could affect the average real interest rate.

The effects of stochastic inflation on equity prices and the equity premium are studied in a pure-endowment asset-pricing model with a cash-in-advance constraint. Stochastic inflation affects the equity premium through two channels: the assessment of an inflation tax and the presence of an...

Competitive equilibria in adverse selection economies with private information are generally studied in models with a market structure that has risk neutral firms, market segmentation and contract exclusivity. An alternative market structure closer to the standard Arrow-Debreu framework is...

Anonymity in the market place is a cornerstone of the standard competitive equilibrium framework in which agents are assumed to be price takers. Anonymity is formally incorporated into the model by assuming that the central planner is unable to determine who is who, even though the planner knows...