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A Time Homogeneous Stationary Equilbrium Model of Asset Pricing with Heterogeneous Agents

Author

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  • Vachadze, G.

Abstract

The purpose of the paper is to demonstrate the existence of a time homogeneous stationary equilibrium in an exchange economy with a single consumption commodity, borrowing constraints, a finite number of securities, and a finite number of heterogeneous agents. Agents are infinitely lived and maximize expected value of the sum of discounted utilities of consumption. Equilibrium security prices and agents' portfolio holdings are shown to be time homogeneous functions of the stationary dividend and endowment processes. Fluctuations of equilibrium prices and portfolio holdings across agents are explained by the sample paths of exogenous processes.

Suggested Citation

  • Vachadze, G., 1999. "A Time Homogeneous Stationary Equilbrium Model of Asset Pricing with Heterogeneous Agents," CERGE-EI Working Papers wp148, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    • Handle: RePEc:cer:papers:wp148
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    File URL: http://www.cerge-ei.cz/pdf/wp/Wp148.pdf
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    More about this item

    Keywords

    Asset pricing; borrowing constraints; general equilibrium; heterogeneous agents; time homogeneous stationary equilibrium.;
    All these keywords.

    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

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