ScholarWorks@성균관대학교

초록

We construct a parsimonious monetary search model and conduct empirical tests to examine the role of liquid assets as substitutes for money. The theoretical prediction suggests that nominal interest rates positively in uence the market values of liquidity services, i.e., liquidity premia. Higher money holding costs increase the demand for liquid assets and, consequently, their prices. Consistent with this theory, the empirical tests show that short-term interest rates positively affect the liquidity premia of 91-day monetary stabilization bonds and three-year government bonds from 2011 to 2019. Additionally, the standing facility introduced in 2008 had a negative effect on these liquidity premia. © 2025, Central University of Finance and Economics. All rights reserved.

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