Long-Term Finance and Investment with Frictional Asset Markets: US Model Calibration

Data and code supporting a theoretical model on how trading frictions affect long-term bond yields and corporate investment. The model is calibrated for the US economy, and counterfactual exercises suggest frictions significantly influence maturity choices and investment. The work was authored by Julian Kozlowski of the Federal Reserve Bank of St. Louis.

Use Cases

• Calibrating theoretical models of bond pricing based on the described liquidity spread identification.
• Analyzing the relationship between trading frictions and corporate investment horizons as suggested by the theory.
• Conducting policy simulations to assess the impact of liquidity interventions on long-term financing costs.
• Studying the determinants of the yield curve slope in the context of market frictions.

Strengths

• Associated with a formal academic paper, providing theoretical context.
• Model calibration is specifically for the US economy.
• Includes code for replication and counterfactual analysis.

Limitations

• Row count and dataset size are unknown, which may limit suitability assessment.
• Column-level documentation is absent; field semantics must be inferred after download.
• Last update date is unknown; freshness unverified.

Provenance

Source

Julian Kozlowski, Federal Reserve Bank of St. Louis

Collection Method

Likely derived from financial market data for model calibration, as described in the accompanying paper.

Geography

United States