Asset Prices and Asset Quantities
AbstractWe propose an organizing framework that determines asset prices by equating household sector asset demand derived from an economic model to the observed supply of assets provided by other sectors. We then use a specific model of household asset demand to decompose historical changes in asset positions into changes in new asset supply and household income, as well as changes in return expectations. Our findings show that supply and income changes are important determinants of the wealth-to-GDP ratio and real estate positions, and return expectations are the key determinant of equity positions. (JEL: G11, G12, E44, E21) (c) 2007 by the European Economic Association.
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Bibliographic InfoArticle provided by MIT Press in its journal Journal of the European Economic Association.
Volume (Year): 5 (2007)
Issue (Month): 2-3 (04-05)
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Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
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- Wharton School & Nikolai Roussanov, 2008.
"Diversification and its Discontents: Idiosyncratic and Entrepreneurial Risk in the Quest for Social Status,"
2008 Meeting Papers
924, Society for Economic Dynamics.
- Nikolai Roussanov, 2010. "Diversification and Its Discontents: Idiosyncratic and Entrepreneurial Risk in the Quest for Social Status," Journal of Finance, American Finance Association, vol. 65(5), pages 1755-1788, October.
- Zagaglia, Paolo, 2009. "Forecasting with a DSGE Model of the term Structure of Interest Rates: The Role of the Feedback," Research Papers in Economics 2009:14, Stockholm University, Department of Economics.
- King, Thomas B., 2013. "A Portfolio-Balance Approach to the Nominal Term Structure," Working Paper Series WP-2013-18, Federal Reserve Bank of Chicago.
- David Berger & Joseph Vavra, 2014. "Consumption Dynamics During Recessions," NBER Working Papers 20175, National Bureau of Economic Research, Inc.
- Paolo Zagaglia, 2013. "Forecasting Long-Term Interest Rates with a General-Equilibrium Model of the Euro Area: What Role for Liquidity Services of Bonds?," Asia-Pacific Financial Markets, Springer, vol. 20(4), pages 383-430, November.
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