The Dynamic Properties of Financial‐Market Equilibrium with Trading Fees
将交易费用纳入动态多代理人一般均衡模型，研究交易费用对利率、风险溢价、波动率和福利的影响，发现流动性风险被定价，导致消费资本资产定价模型偏离。
ABSTRACT We incorporate trading fees into a dynamic, multiagent general‐equilibrium model in which traders optimally decide when to trade. For that purpose, we propose an innovative algorithm that synchronizes the traders. Securities prices are not so much affected by the payment of the fees itself, but rather by the trade‐off that the traders face between smoothing consumption and smoothing holdings. In calibrated examples, the interest rate and welfare decline with trading fees, while risk premia and volatilities increase. Liquidity risk and expected liquidity are priced, leading to deviations from the consumption‐CAPM. With trading fees, capital is slow‐moving, generating slow price reversal.