流动性溢价截面的均衡模型
An Equilibrium Model for the Cross-Section of Liquidity Premia
摘要：
我们研究一个风险分担经济，其中任意数量的异质代理人交易任意数量的风险资产，服从二次交易成本。对于线性状态动力学，表征均衡资产价格和交易策略的正向-倒向随机微分方程在这种情况下归结为矩阵值Riccati方程组。我们证明了一个唯一的整体解决方案的存在性，并提供明确的渐近展开，使我们能够近似相应的均衡小交易成本。这些易于处理的近似公式使模型能够根据价格和交易量的时间序列进行校准，并研究具有较高和较低交易成本的资产所赚取的流动性溢价的横截面。一个实证案例研究说明了这一点。
英文摘要：
We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky assets subject to quadratic transaction costs. For linear state dynamics, the forward-backward stochastic differential equations characterizing equilibrium asset prices and trading strategies in this context reduce to a system of matrix-valued Riccati equations. We prove the existence of a unique global solution and provide explicit asymptotic expansions that allow us to approximate the corresponding equilibrium for small transaction costs. These tractable approximation formulas make it feasible to calibrate the model to time series of prices and trading volume, and to study the cross-section of liquidity premia earned by assets with higher and lower trading costs. This is illustrated by an empirical case study.
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