We propose a dynamic equilibrium model with stochastic interest rates in which agents hold heterogeneous valuations for the same asset and take on positions against each other. The model shows that interest rate uncertainty and investor heterogeneity are key determinants of price dispersion. Higher search intensity reduces price dispersion, while raising volume, leading to a negative volatility-volume relation. The sensitivity of volatility to volume is high when liquidity is low, interest rate variations are high and investors' valuations are more heterogeneous. Evidence supports our model's predictions and shows that search frictions play an important role in driving the volatility-volume relation.

中文翻译：

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随机利率、异质估值以及与搜索摩擦的波动率-交易量关系

我们提出了一个具有随机利率的动态均衡模型，在该模型中，代理人对同一资产持有不同的估值并相互持有头寸。该模型表明，利率不确定性和投资者异质性是价格分散的关键决定因素。更高的搜索强度减少了价格分散，同时增加了交易量，导致负波动率-交易量关系。当流动性低、利率变化大且投资者的估值更加异质时，波动率对交易量的敏感性就高。证据支持我们模型的预测，并表明搜索摩擦在推动波动率-交易量关系方面发挥着重要作用。