Asset price volatilities and trading volumes in heterogeneous agent economies
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Mehra, Rajnish & Prescott, Edward C., 1985.
"The equity premium: A puzzle,"
Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
- R. Mehra & E. Prescott, 2010. "The equity premium: a puzzle," Levine's Working Paper Archive 1401, David K. Levine.
- Duffie, Darrell, et al, 1994. "Stationary Markov Equilibria," Econometrica, Econometric Society, vol. 62(4), pages 745-781, July.
- Kjetil Storesletten & Chris Telmer & Amir Yaron, 2007.
"Asset Pricing with Idiosyncratic Risk and Overlapping Generations,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 10(4), pages 519-548, October.
- Kjetil Storesletten & Chris Telmer & Amir Yaron, "undated". "Asset pricing with idiosyncratic risk and overlapping generations," GSIA Working Papers 226, Carnegie Mellon University, Tepper School of Business.
- Kjetil Storesletten & Chris Telmer & Amir Yaron, 1996. "Asset pricing with idiosyncratic risk and overlapping generations," Economics Working Papers 405, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 1999.
- Storesletten, Kjetil & Telmer, Chris & Yaron, Amir, 2002. "Asset pricing with idiosyncratic risk and overlapping generations," Seminar Papers 703, Stockholm University, Institute for International Economic Studies.
- Yaron, Amir & Storesletten, Kjetil & Telmer, Chris, 2001. "Asset Pricing with Idiosyncratic Risk and Overlapping Generations," CEPR Discussion Papers 3065, C.E.P.R. Discussion Papers.
- Yeung Lewis Chan & Leonid Kogan, 2002.
"Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices,"
Journal of Political Economy, University of Chicago Press, vol. 110(6), pages 1255-1285, December.
- Yeung Lewis Chan & Leonid Kogan, "undated". "Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices," Rodney L. White Center for Financial Research Working Papers 14-00, Wharton School Rodney L. White Center for Financial Research.
- Yeung Lewis Chan & Leonid Kogan, 2001. "Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices," NBER Working Papers 8607, National Bureau of Economic Research, Inc.
- Wang, Yong, 1994. "Stationary Markov Equilibria in an OLG Model with Correlated Production Shocks," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(3), pages 731-744, August.
- Krusell, Per & Smith, Anthony A., 1997.
"Income And Wealth Heterogeneity, Portfolio Choice, And Equilibrium Asset Returns,"
Macroeconomic Dynamics, Cambridge University Press, vol. 1(2), pages 387-422, June.
- Per Krusell & Anthony A. Smith, Jr., "undated". "Income and Wealth Heterogeneity, Portfolio Choice, and Equilibrium Asset Returns," GSIA Working Papers 1997-45, Carnegie Mellon University, Tepper School of Business.
- Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002.
"Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence,"
Journal of Political Economy, University of Chicago Press, vol. 110(4), pages 793-824, August.
- Alon Brav & George M. Constantinides & Christopher C. Geczy, "undated". "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," Rodney L. White Center for Financial Research Working Papers 23-99, Wharton School Rodney L. White Center for Financial Research.
- Alon Brav & George M. Constantinides & Christopher C. Geczy, 1999. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," NBER Working Papers 7406, National Bureau of Economic Research, Inc.
- Alon Brav & George M. Constantinides & Christopher C. Geczy, 1999. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," CRSP working papers 505, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," NBER Working Papers 8822, National Bureau of Economic Research, Inc.
- Campbell, John Y., 1999.
"Asset prices, consumption, and the business cycle,"
Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 19, pages 1231-1303,
Elsevier.
- John Y. Campbell, 1998. "Asset Prices, Consumption, and the Business Cycle," NBER Working Papers 6485, National Bureau of Economic Research, Inc.
- Mankiw, N. Gregory, 1986.
"The equity premium and the concentration of aggregate shocks,"
Journal of Financial Economics, Elsevier, vol. 17(1), pages 211-219, September.
- N. Gregory Mankiw, 1986. "The Equity Premium and the Concentration of Aggregate Shocks," NBER Working Papers 1788, National Bureau of Economic Research, Inc.
- Jouini, E. & Napp, C., 2006.
"Aggregation of heterogeneous beliefs,"
Journal of Mathematical Economics, Elsevier, vol. 42(6), pages 752-770, September.
- Elyès Jouini & Clotilde Napp, 2006. "Aggregation of Heterogeneous Beliefs," Post-Print halshs-00151562, HAL.
- 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.
- John Heaton & Deborah Lucas, 1993. "Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing," NBER Working Papers 4249, National Bureau of Economic Research, Inc.
- Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-1445, November.
- Andrew B. Abel, "undated".
"Asset Prices Under Heterogenous Beliefs: Implications for the Equity Premium,"
Rodney L. White Center for Financial Research Working Papers
09-89, Wharton School Rodney L. White Center for Financial Research.
- Andrew B. Abel, "undated". "Asset Prices Under Heterogenous Beliefs: Implications for the Equity Premium," Rodney L. White Center for Financial Research Working Papers 9-89, Wharton School Rodney L. White Center for Financial Research.
- 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.
- Per Krusell & Anthony A. Smith, Jr., "undated". "Income and Wealth Heterogeneity in the Macroeconomy," GSIA Working Papers 1997-37, Carnegie Mellon University, Tepper School of Business.
- Krusell, P & Smith Jr, A-A, 1995. "Income and Wealth Heterogeneity in the Macroeconomic," RCER Working Papers 399, University of Rochester - Center for Economic Research (RCER).
- Dumas, Bernard, 1989. "Two-Person Dynamic Equilibrium in the Capital Market," The Review of Financial Studies, Society for Financial Studies, vol. 2(2), pages 157-188.
- Felix Kubler & Herakles Polemarchakis, 2004. "Stationary Markov equilibria for overlapping generations," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 24(3), pages 623-643, October.
- José-Víctor Ríos-Rull, 1997. "Computation of equilibria in heterogeneous agent models," Staff Report 231, Federal Reserve Bank of Minneapolis.
- Jiang, Wang, 1996. "The term structure of interest rates in a pure exchange economy with heterogeneous investors," Journal of Financial Economics, Elsevier, vol. 41(1), pages 75-110, May.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- John Y. Campbell, 2003. "Two Puzzles of Asset Pricing and Their Implications for Investors," The American Economist, Sage Publications, vol. 47(1), pages 48-74, March.
- John Y. Campbell, 2000.
"Asset Pricing at the Millennium,"
Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, August.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," Harvard Institute of Economic Research Working Papers 1897, Harvard - Institute of Economic Research.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," NBER Working Papers 7589, National Bureau of Economic Research, Inc.
- Campbell, John, 2000. "Asset Pricing at the Millennium," Scholarly Articles 3294737, Harvard University Department of Economics.
- Yeung Lewis Chan & Leonid Kogan, 2002.
"Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices,"
Journal of Political Economy, University of Chicago Press, vol. 110(6), pages 1255-1285, December.
- Yeung Lewis Chan & Leonid Kogan, "undated". "Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices," Rodney L. White Center for Financial Research Working Papers 14-00, Wharton School Rodney L. White Center for Financial Research.
- Yeung Lewis Chan & Leonid Kogan, 2001. "Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices," NBER Working Papers 8607, National Bureau of Economic Research, Inc.
- Krueger, Dirk & Lustig, Hanno, 2010.
"When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?,"
Journal of Economic Theory, Elsevier, vol. 145(1), pages 1-41, January.
- Dirk Krueger & Hanno Lustig, 2006. "When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (and when is it not)?," NBER Working Papers 12634, National Bureau of Economic Research, Inc.
- Cochrane, John H., 2005.
"Financial Markets and the Real Economy,"
Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
- John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
- Eduard Dubin & Olesya V. Grishchenko & Vasily Kartashov, 2012. "Habit formation heterogeneity: Implications for aggregate asset pricing," Finance and Economics Discussion Series 2012-07, Board of Governors of the Federal Reserve System (U.S.).
- Seppala, Juha, 2004.
"The term structure of real interest rates: theory and evidence from UK index-linked bonds,"
Journal of Monetary Economics, Elsevier, vol. 51(7), pages 1509-1549, October.
- Juha Ilmari Seppala, 2000. "The Term Structure of Real Interest Rates: Theory and Evidence from the U.K. Index-Linked Bonds," Econometric Society World Congress 2000 Contributed Papers 0245, Econometric Society.
- Favilukis, Jack, 2013.
"Inequality, stock market participation, and the equity premium,"
Journal of Financial Economics, Elsevier, vol. 107(3), pages 740-759.
- Jack Favilukis, 2007. "Inequality, Stock Market Participation, and the Equity Premium," FMG Discussion Papers dp602, Financial Markets Group.
- Favilukis, Jack, 2007. "Inequality, stock market participation, and the equity premium," LSE Research Online Documents on Economics 24500, London School of Economics and Political Science, LSE Library.
- Sialm, Clemens, 2006.
"Stochastic taxation and asset pricing in dynamic general equilibrium,"
Journal of Economic Dynamics and Control, Elsevier, vol. 30(3), pages 511-540, March.
- Clemens Sialm, 2002. "Stochastic Taxation and Asset Pricing in Dynamic General Equilibrium," NBER Working Papers 9301, National Bureau of Economic Research, Inc.
- Krusell, Per & Mukoyama, Toshihiko & Smith Jr., Anthony A., 2011.
"Asset prices in a Huggett economy,"
Journal of Economic Theory, Elsevier, vol. 146(3), pages 812-844, May.
- Toshihiko Mukoyama & Anthony A. Smith & Per Krusell, 2008. "Asset Prices in a Huggett Economy," 2008 Meeting Papers 181, Society for Economic Dynamics.
- YiLi Chien & Hanno Lustig, 2010.
"The Market Price of Aggregate Risk and the Wealth Distribution,"
The Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1596-1650, April.
- Hanno Lustig, 2001. "The Market Price of Aggregate Risk and the Wealth Distribution," Finance 0111004, University Library of Munich, Germany, revised 16 Nov 2001.
- Hanno Lustig & Yi-Li Chien, 2005. "The Market Price of Aggregate Risk and the Wealth Distribution," NBER Working Papers 11132, National Bureau of Economic Research, Inc.
- Hanno Lustig, 2004. "The Market Price of Aggregate Risk and the Wealth Distribution," UCLA Economics Online Papers 299, UCLA Department of Economics.
- 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.
- John Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers 1974, Harvard - Institute of Economic Research.
- Panageas, Stavros, 2020.
"The Implications of Heterogeneity and Inequality for Asset Pricing,"
Foundations and Trends(R) in Finance, now publishers, vol. 12(3), pages 199-275, November.
- Stavros Panageas, 2020. "The Implications of Heterogeneity and Inequality for Asset Pricing," NBER Working Papers 26974, National Bureau of Economic Research, Inc.
- John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.
- Manuel Santos & Jianjun Miao, 2005.
"Numerical Solution of Dynamic Non-Optimal Economies,"
2005 Meeting Papers
266, Society for Economic Dynamics.
- Junjian Miao & Manuel Santos, 2005. "Numerical Solution of Dynamic Non-Optimal Economies," Boston University - Department of Economics - Working Papers Series WP2005-003, Boston University - Department of Economics.
- Krebs, Tom & Wilson, Bonnie, 2004. "Asset returns in an endogenous growth model with incomplete markets," Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 817-839, January.
- Kris Jacobs, 2002. "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers 2002s-08, CIRANO.
- Zhigang Feng & Jianjun Miao & Adrian Peralta‐Alva & Manuel S. Santos, 2014.
"Numerical Simulation Of Nonoptimal Dynamic Equilibrium Models,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 55(1), pages 83-110, February.
- Zhigang Feng & Jianjun Miao & Adrian Peralta-Alva & Manuel S. Santos, "undated". "Numerical Simulation of Nonoptimal Dynamic Equilibrium Models," Boston University - Department of Economics - Working Papers Series wp2009-013, Boston University - Department of Economics.
- Zhigang Feng & Jianjun Miao & Adrian Peralta-Alva & Manual Santos, 2009. "Numerical Simulation of Nonoptimal Dynamic Equilibrium Models," Working Papers 0912, University of Miami, Department of Economics.
- Zhigang Feng & Manuel Santos & Adrian Peralta-Alva & Jianjun Miao, 2009. "Numerical Simulation of Nonoptimal Dynamic Equilibrium Models," 2009 Meeting Papers 541, Society for Economic Dynamics.
- Zhigang Feng & Jianjun Miao & Adrian Peralta-Alva & Manuel S. Santos, 2009. "Numerical simulation of nonoptimal dynamic equilibrium models," Working Papers 2009-018, Federal Reserve Bank of St. Louis.
- George M. Constantinides, 2002.
"Rational Asset Prices,"
Journal of Finance, American Finance Association, vol. 57(4), pages 1567-1591, August.
- George M. Constantinides, 2002. "Rational Asset Prices," NBER Working Papers 8826, National Bureau of Economic Research, Inc.
- Jonathan Heathcote & Kjetil Storesletten & Giovanni L. Violante, 2009.
"Quantitative Macroeconomics with Heterogeneous Households,"
Annual Review of Economics, Annual Reviews, vol. 1(1), pages 319-354, May.
- Jonathan Heathcote & Kjetil Storesletten & Giovanni L. Violante, 2009. "Quantitative macroeconomics with heterogeneous households," Staff Report 420, Federal Reserve Bank of Minneapolis.
- Jonathan Heathcote & Kjetil Storesletten & Giovanni L. Violante, 2009. "Quantitative Macroeconomics with Heterogeneous Households," NBER Working Papers 14768, National Bureau of Economic Research, Inc.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2006-07-15 (Financial Markets)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sce:scecfa:466. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F. Baum (email available below). General contact details of provider: https://edirc.repec.org/data/sceeeea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.