تجارت دو به دو، قیمت دارایی ها، و سیاست های پولی

We construct a search-theoretic model where fiat money coexists with real assets, and all assets can be used as a media of exchange. The terms of trade in bilateral matches are determined by a pairwise Pareto-efficient pricing mechanism. We do not have to appeal to exogenous liquidity constraints to generate asset prices that are consistent with the following facts: (i) fiat money can be valued despite being dominated in its rate of return; (ii) real assets with identical dividend flows can have different rates of return; and (iii) an increase in inflation raises asset prices, lowers their returns, and widens the rate-of-return differences between assets. On the normative side we show that there is a range of inflation rates that implement the first-best allocation

What determines an asset's liquidity? More than 20 years ago, Kiyotaki and Wright (1989) provided an answer in the context of a monetary model with bilateral exchange. They found that the moneyness of an asset depends on its physical properties (e.g., storage costs), the fundamentals of the economy (e.g., the pattern of specialization) and conventions (e.g., how agents coordinate on one of many possible equilibria). These insights were derived under the extreme portfolio restriction that agents cannot hold more than one unit of an asset, and the stark assumption that assets and goods are indivisible. Subsequently, these restrictions and assumptions have been relaxed, see e.g., Shi (1997) and Lagos and Wright (2005), which led to a renewed interest in the question that prompted this literature in the first place: What makes money money? Recent work has shown that liquidity differences across assets can arise from either informational asymmetries or exogenous asset specific liquidity constraints. For example, Lester et al. (2012) show that fiat money is a superior means of payment because it is can be authenticated at zero cost.1Rocheteau (2011) finds that when asset holders are privately informed about dividends, the liquidity of assets depends on the properties of their dividend processes. Kiyotaki and Moore (2005) and Lagos (2010) impose exogenous liquidity constraints on some financial transactions in order to match some asset pricing facts that are viewed as anomalies. In this paper, we take an alternative approach to generate liquidity differences across assets that does not require either informational asymmetries or exogenous constraints on payments. We generalize the argument of Zhu and Wallace (2007), who propose a trading mechanism for bilateral matches that has good normative properties and that, from a transactions perspective, treats assets asymmetrically.2 The allocations for our bilateral trading mechanism, like Zhu and Wallace (2007), are Pareto efficient.3 We further restrict our trading mechanism by requiring asset pricing patterns to be the same those from models with exogenous liquidity constraints. In particular, asset prices should exhibit: (i) rate of return dominance; (ii) rate of return differences between assets with identical cash flows; (iii) and a positive correlation between asset prices and inflation. The key difference in our approach relative to that of Kiyotaki and Moore (2005) and Lagos (2010) is that all assets held by an agent can be used to finance consumption opportunities without any restrictions. Our mechanism does not leave any asset unused as a means of payment, unless there are no further gains from trade.4 The key difference in our approach relative to that of Zhu and Wallace (2007) is that our trading mechanism is more general than what they consider and, as a consequence, our model is able to deliver a non-degenerate liquidity structure of asset returns. The family of trading mechanisms that we consider is parametrized by a single parameter – just like the generalized Nash solution – and it admits as particular cases the pricing mechanisms considered in Geromichalos et al. (2007), Lagos (2010), Lagos and Rocheteau (2008), and Zhu and Wallace (2007). Our trading mechanism is embedded into a search-theoretic model with divisible money, along the lines of Lagos and Wright (2005), where a lack of double coincidence of wants and the absence of a record-keeping technology generate an explicit need for a tangible medium of exchange. There are multiple types of assets: money and real assets that yield a flow of real dividends.5 The main insights of our theory are as follows. First, fiat money can be held and valued despite being dominated in its rate of return by competing assets. In contrast to earlier works, we do not need to impose trading restrictions to generate a rate of return dominance pattern: a plain-vanilla Lagos–Wright model can account for this puzzle. Second, the model is capable of generating a liquidity-based structure of asset yields, where assets can exhibit different rates of returns, even if they share the same risk characteristics, or if agents are risk-neutral.6 Those rate of return differences, which are all anomalies from the standpoint of standard asset pricing theories, reflect differences in the liquidity of the assets; some assets can be liquidated at better terms of trade than others. Third, our model also has implications for the transmission mechanism of monetary policy to asset prices. Under our pricing protocol, real assets have a liquidity value in the sense that a buyer is able to capture some surplus in a bilateral meeting when paying with real assets. Hence, an increase in inflation will raise their prices and lowers their returns. Moreover, inflation widens the rate of return differences between assets. And finally, from a normative standpoint, there is a range of inflation rates that implement the first-best allocation, including the Friedman rule. As a consequence, a small inflation above the Friedman rule does not impose a welfare cost on society.

The main contribution of this paper is to show that the rate-of-return-dominance and other asset pricing puzzles need not be puzzles when viewed through the lens of monetary models with bilateral trades. These seemingly anomalous asset pricing patterns can be generated by trading mechanisms that are Pareto-efficient and that do not impose any restriction on the use of assets as means of payment, i.e., the Wallace (1996) dictum is satisfied. Liquidity differences across assets can arise because agents coordinate on a mechanism that makes it cheaper for buyers to trade some assets relative to others. For instance, sellers can agree to offer better terms of trade to buyers trading with money instead of bonds or equity. Lagos (2010) shows that a calibrated version of a search-theoretic monetary model can account for both the risk-free rate and the equity premium puzzles once a small restriction is introduced on the use of equity as means of payment. Our analysis indicates that such a restriction is, in fact, not needed once one allows for a broader class of trading mechanisms. The trading mechanism we have considered has strategic foundations, which can be found in the appendix.