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Asset price fluctuations without aggregate shocks

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  • Azariadis, Costas
  • Kaas, Leo

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  • Azariadis, Costas & Kaas, Leo, 2007. "Asset price fluctuations without aggregate shocks," Journal of Economic Theory, Elsevier, vol. 136(1), pages 126-143, September.
    • Handle: RePEc:eee:jetheo:v:136:y:2007:i:1:p:126-143
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    References listed on IDEAS

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    1. Constantinides, George M & Duffie, Darrell, 1996. "Asset Pricing with Heterogeneous Consumers," Journal of Political Economy, University of Chicago Press, vol. 104(2), pages 219-240, April.
    2. Manuel S. Santos & Michael Woodford, 1997. "Rational Asset Pricing Bubbles," Econometrica, Econometric Society, vol. 65(1), pages 19-58, January.
    3. Kiyotaki, Nobuhiro & Moore, John, 1997. "Credit Cycles," Journal of Political Economy, University of Chicago Press, vol. 105(2), pages 211-248, April.
    4. George M. Constantinides & John B. Donaldson & Rajnish Mehra, 2002. "Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 117(1), pages 269-296.
    5. Mankiw, N. Gregory & Zeldes, Stephen P., 1991. "The consumption of stockholders and nonstockholders," Journal of Financial Economics, Elsevier, vol. 29(1), pages 97-112, March.
    6. Timothy J. Kehoe & David K. Levine, 1993. "Debt-Constrained Asset Markets," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 60(4), pages 865-888.
    7. John Y. Campbell & John Cochrane, 1999. "Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," Journal of Political Economy, University of Chicago Press, vol. 107(2), pages 205-251, April.
    8. Fernando Alvarez & Urban J. Jermann, 2000. "Efficiency, Equilibrium, and Asset Pricing with Risk of Default," Econometrica, Econometric Society, vol. 68(4), pages 775-798, July.
    9. Campbell, John Y., 2003. "Consumption-based asset pricing," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 13, pages 803-887, Elsevier.
    10. Kehoe, Timothy J & Levine, David K, 2001. "Liquidity Constrained Markets versus Debt Constrained Markets," Econometrica, Econometric Society, vol. 69(3), pages 575-598, May.
    11. Heaton, John & Lucas, Deborah J, 1996. "Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing," Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 443-487, June.
    12. Constantinides, George M, 1990. "Habit Formation: A Resolution of the Equity Premium Puzzle," Journal of Political Economy, University of Chicago Press, vol. 98(3), pages 519-543, June.
    13. Sandroni, Alvaro, 1999. "Asset prices and the distribution of wealth," Economics Letters, Elsevier, vol. 64(2), pages 203-207, August.
    14. Per Krusell & Anthony A. Smith & Jr., 1998. "Income and Wealth Heterogeneity in the Macroeconomy," Journal of Political Economy, University of Chicago Press, vol. 106(5), pages 867-896, October.
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    Cited by:

    1. Antinolfi, Gaetano & Azariadis, Costas & Bullard, James, 2016. "The Optimal Inflation Target In An Economy With Limited Enforcement," Macroeconomic Dynamics, Cambridge University Press, vol. 20(2), pages 582-600, March.
    2. Challe, Edouard, 2008. "Endogenous participation risk in speculative markets," Journal of Economic Dynamics and Control, Elsevier, vol. 32(7), pages 2148-2164, July.
    3. Azariadis, Costas & Kaas, Leo, 2013. "Endogenous credit limits with small default costs," Journal of Economic Theory, Elsevier, vol. 148(2), pages 806-824.
    4. Costas Azariadis & Leo Kaas & Yi Wen, 2016. "Self-Fulfilling Credit Cycles," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 83(4), pages 1364-1405.
    5. Chao Gu & Fabrizio Mattesini & Cyril Monnet & Randall Wright, 2013. "Endogenous Credit Cycles," Journal of Political Economy, University of Chicago Press, vol. 121(5), pages 940-965.
    6. Gomes, Orlando, 2006. "Heterogeneous Researchers in a Two-Sector Representative Consumer Economy," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 60(2), November.
    7. Azariadis, Costas & Kaas, Leo, 2016. "Capital Misallocation And Aggregate Factor Productivity," Macroeconomic Dynamics, Cambridge University Press, vol. 20(2), pages 525-543, March.
    8. Orlando Gomes, 2004. "A Continuous-Time Asset Pricing Model with Boundedly Rational Heterogeneous Agents," Finance 0409055, University Library of Munich, Germany.
    9. Kee-Youn Kang, 2023. "Cryptocurrency and double spending history: transactions with zero confirmation," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 75(2), pages 453-491, February.
    10. Costas Azariadis & Leo Kaas, 2004. "Endogenous Financial Development and Multiple Growth Regimes," Economic Working Papers at Centro de Estudios Andaluces E2004/08, Centro de Estudios Andaluces.
    11. Gaetano Antinolfi & Costas Azariadis & James B. Bullard, 2007. "Monetary policy as equilibrium selection," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 331-342.
    12. V. Filipe Martins-Da-Rocha & Toan Phan & Yiannis Vailakis, 2022. "Pecuniary Externalities in Competitive Economies with Limited Pledgeability," Working Papers hal-03909596, HAL.
    13. Costas Azariadis & Leo Kaas, 2007. "Is dynamic general equilibrium a theory of everything?," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 32(1), pages 13-41, July.

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