Asset price fluctuations without aggregate shocks.
We analyze the pricing of a productive asset in a class of dynamic exchange economies with heterogeneous, infinitely-lived agents, and self-enforcing intertemporal trades. Individual incomes fluctuate and are correlated; preferences, dividends and aggregate income are fixed. Almost all economies in...
| Publicado en: | Journal of Economic Theory Vol. 136; no. 1; pp. 126 - 144 |
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| Autores principales: | , |
| Formato: | Artículo |
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Academic Press Inc.
September 2007
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=511346036&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 511346036 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 00220531 RTH jtl: Journal of Economic Theory issn: 00220531 maglogo: N pubinfo: dt: September 2007 vid: 136 iid: 1 pid: 735 pub: Academic Press Inc. artinfo: ui: 511346036 10.1016/j.jet.2006.06.005 ppf: 126 ppct: 18 formats: tig: atl: Asset price fluctuations without aggregate shocks. aug: au: Azariadis, Costas Kaas, Leo su: Assets (Accounting) Pricing Market volatility Economic shock Mathematical models sug: subj: Assets (Accounting) Pricing Market volatility Economic shock Mathematical models keyword: Asset pricing theory ab: We analyze the pricing of a productive asset in a class of dynamic exchange economies with heterogeneous, infinitely-lived agents, and self-enforcing intertemporal trades. Individual incomes fluctuate and are correlated; preferences, dividends and aggregate income are fixed. Almost all economies in this class have a unique stationary Markovian equilibrium with fluctuations in asset prices. As the set of unrationed households changes over time and states, excess demand functions shift, asset returns fluctuate, and some households are shut out of asset markets. Examples suggest that the amplitude of these movements is negatively correlated with the productivity of the asset and with the penalty for default. © 2006 Elsevier Inc. All rights reserved. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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