985数量经济与金融系列讲座第175期：Rational Expectations Equilibrium with Transaction Costs in Financial Markets

题目：Rational Expectations Equilibrium with Transaction Costs in Financial Markets

主讲人：崇志伟，中央财经大学副教授

Abstract

We obtain a closed-form solution to rational expectations equilibrium withtransaction costs in the framework of Grossman and Stiglitz (1980) [On theimpossibility of informationally efficient markets. American Economic Review70, 543-566]. Individual private information incorporated into prices is reduced due to suppressed trading activities by transaction costs. The equilibrium fraction of informed traders increases (decreases) with transaction costs when the costs are low (high). The informativeness of prices decreases with transaction costs.