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Citations for "Income And Wealth Heterogeneity, Portfolio Choice, And Equilibrium Asset Returns"

by Krusell, Per & Smith, Anthony A.

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  1. Kevin X.D. Huang & Jonathan Willis, 2012. "Sectoral Interactions and Monetary Policy Under Costly Price Adjustments," 2012 Meeting Papers 883, Society for Economic Dynamics.
  2. Andreas Hornstein & Harald F. Uhlig, 1999. "What is the real story for interest rate volatility?," Working Paper 99-09, Federal Reserve Bank of Richmond.
  3. Yili Chien & Junsang Lee, 2009. "Optimal Capital Taxation Under Limited Commitment," CAMA Working Papers 2009-06, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  4. Kazufumi Yamana, . "Structural Household Finance," Discussion papers ron279, Policy Research Institute, Ministry of Finance Japan.
  5. Hénin, Pierre-Yves & Weitzenblum, Thomas, 2003. "Employment protection and the stock market: The common shock case," CEPREMAP Working Papers (Couverture Orange) 0306, CEPREMAP.
  6. Charles Leung, 2007. "Equilibrium Correlations of Asset Price and Return," The Journal of Real Estate Finance and Economics, Springer, vol. 34(2), pages 233-256, February.
  7. Yili Chien & Harold Cole & Hanno Lustig, 2011. "A Multiplier Approach to Understanding the Macro Implications of Household Finance," Review of Economic Studies, Oxford University Press, vol. 78(1), pages 199-234.
  8. Kjetil Storesletten & Chris Telmer & Amir Yaron, . "Asset pricing with idiosyncratic risk and overlapping generations," GSIA Working Papers 226, Carnegie Mellon University, Tepper School of Business.
  9. Jonathan Heathcote, 2005. "Fiscal Policy with Heterogeneous Agents and Incomplete Markets," Review of Economic Studies, Oxford University Press, vol. 72(1), pages 161-188.
  10. Den Haan, Wouter J., 2001. "The importance of the number of different agents in a heterogeneous asset-pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 25(5), pages 721-746, May.
  11. John Y. Campbell, 2000. "Asset Pricing at the Millennium," NBER Working Papers 7589, National Bureau of Economic Research, Inc.
  12. Den Haan, Wouter, 2008. "Comparison of Solutions to the Incomplete Markets Model with Aggregate Uncertainty," CEPR Discussion Papers 7019, C.E.P.R. Discussion Papers.
  13. repec:hal:wpaper:hal-01157168 is not listed on IDEAS
  14. Francisco Covas & Wouter J. den Haan, 2006. "The Role of Debt and Equity Finance over the Business Cycle," Staff Working Papers 06-45, Bank of Canada.
  15. Olivier Allais, 2004. "Local Substitution and Habit Persistence: Matching the Moments of the Equity Premium and the Risk-Free Rate," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 7(2), pages 265-296, April.
  16. Kalin Nikolov & Alex Michaelides & Nobuhiro Kiyotaki, 2007. "From Shirtsleeves to Shirtsleeves in a Long Lifetime," 2007 Meeting Papers 357, Society for Economic Dynamics.
  17. Mariacristina De Nardi, 2004. "Wealth Inequality and Intergenerational Links," Review of Economic Studies, Oxford University Press, vol. 71(3), pages 743-768.
  18. Leduc, Sylvain, 2002. "Incomplete markets, borrowing constraints, and the foreign exchange risk premium," Journal of International Money and Finance, Elsevier, vol. 21(7), pages 957-980, December.
  19. Edouard Challe & Xavier Ragot, 2010. "Fiscal policy in a tractable liquidity-constrained economy," Sciences Po publications 297, Sciences Po.
  20. Edouard Challe & François Le Grand & Xavier Ragot, 2007. "Incomplete markets, liquidation risk and the term structure of interest rates," PSE Working Papers halshs-00587679, HAL.
  21. Costas Xiouros, 2006. "Asset price volatilities and trading volumes in heterogeneous agent economies," Computing in Economics and Finance 2006 466, Society for Computational Economics.
  22. Christian Bayer & Ruediger Bachmann, 2009. "The Cross-section of Firms over the Business Cycle: New Facts and a DSGE Exploration," 2009 Meeting Papers 866, Society for Economic Dynamics.
  23. Francesc Obiols-Homs, 2003. "Incomplete Unemployment Insurance and Aggregate Fluctuations," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(3), pages 602-636, July.
  24. Olivier Allais & Yann Algan & Edouard Challe & Xavier Ragot, 2015. "The Welfare Cost of Inflation Risk Under Imperfect Insurance," Sciences Po publications 2015-08, Sciences Po.
  25. José Victor Rios-Rull, 2002. "Desigualdad, ¿qué sabemos?," Investigaciones Economicas, Fundación SEPI, vol. 26(2), pages 221-254, May.
  26. Ruediger Bachmann & Ricardo J. Caballero & Eduardo Engel, 2008. "Aggregate Implications of Lumpy Investment: New Evidence and a DSGE Model," Cowles Foundation Discussion Papers 1566R, Cowles Foundation for Research in Economics, Yale University, revised Apr 2010.
  27. Aubhik Khan & Julia K. Thomas, 2008. "Idiosyncratic Shocks and the Role of Nonconvexities in Plant and Aggregate Investment Dynamics," Econometrica, Econometric Society, vol. 76(2), pages 395-436, 03.
  28. Francisco Gomes & Alexander Michaelides, 2005. "Asset pricing with limited risk sharing and heterogeneous agents," LSE Research Online Documents on Economics 24649, London School of Economics and Political Science, LSE Library.
  29. Diaz, Antonia & Pijoan-Mas, Josep & Rios-Rull, Jose-Victor, 2003. "Precautionary savings and wealth distribution under habit formation preferences," Journal of Monetary Economics, Elsevier, vol. 50(6), pages 1257-1291, September.
  30. Per Krusell & Toshihiko Mukoyama & Ayseg ul Sahin, 2007. "Labor-Market Matching with Precautionary Savings and Aggregate Fluctuations," Levine's Bibliography 122247000000001783, UCLA Department of Economics.
  31. Bachmann, Rüdiger & Bayer, Christian, 2013. "‘Wait-and-See’ business cycles?," Journal of Monetary Economics, Elsevier, vol. 60(6), pages 704-719.
  32. Ruediger Bachmann & Eduardo Engel & Ricardo Caballero, 2006. "Lumpy Investment in Dynamic General Equilibrium," 2006 Meeting Papers 775, Society for Economic Dynamics.
  33. Jianjun Miao, 2003. "Competitive Equilibria of Economies with a Continuum of Consumers and Aggregate Shocks," Macroeconomics 0310001, EconWPA.
  34. Rendahl Pontus, 2006. "Inequality Constraints in Recursive Economies," Computing in Economics and Finance 2006 174, Society for Computational Economics.
  35. Francisco Covas, 2005. "Uninsured Idiosyncratic Production Risk with Borrowing Constraints," Staff Working Papers 05-26, Bank of Canada.
  36. Julia Thomas & Aubhik Khan, 2016. "(S,s) insights into the role of inventories in business cycles and high frequency fluctuations," 2016 Meeting Papers 662, Society for Economic Dynamics.
  37. Jack Favilukis, 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.
  38. Julio Davila & Jay H. Hong & Per Krusell & José-Victor Rios Rull, 2005. "Constrained efficiency in the neoclassical growth model with uninsurable idiosyncratic shocks," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00196183, HAL.
  39. 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.
  40. Marcus Miller & Paul Weller & Lei Zhang, 2000. "Moral Hazard and the US Stock Market: Has Mr. Greenspan Created a Bubble?," Econometric Society World Congress 2000 Contributed Papers 1902, Econometric Society.
  41. Yongsung Chang & Sun-Bin Kim & Mark Bils, 2013. "How Sticky Wages in Existing Jobs can affect Hiring," 2013 Meeting Papers 1162, Society for Economic Dynamics.
  42. Tatsuro Senga, 2014. "A New Look at Uncertainty Shocks: Imperfect Information and Misallocation," UTokyo Price Project Working Paper Series 042, University of Tokyo, Graduate School of Economics.
  43. Shaofeng Xu, 2015. "On the Welfare Cost of Rare Housing Disasters," Staff Working Papers 15-26, Bank of Canada.
  44. Rüdiger Bachmann & Lin Ma, 2016. "Lumpy Investment, Lumpy Inventories," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(5), pages 821-855, 08.
  45. Desbonnet, Audrey & Kankanamge, Sumudu, 2016. "Public debt and aggregate risk," TSE Working Papers 16-658, Toulouse School of Economics (TSE).
  46. Josep Pijoan-Mas, 2002. "Pricing Risk in Economies with Heterogenous Agents and Incomplete Markets," Centro de Alti­simos Estudios Ri­os Pe©rez(CAERP) 3, Centro de Altisimos Estudios Rios Perez (CAERP).
  47. Fatih Guvenen, 2009. "A parsimonious macroeconomic model for asset pricing," Staff Report 434, Federal Reserve Bank of Minneapolis.
  48. Daniel Harenberg & Alexander Ludwig, . "Social Security and the Interactions Between Aggregate and Idiosyncratic Risk," Working Papers ETH-RC-14-002, ETH Zurich, Chair of Systems Design.
  49. Luo, Yulei & Young, Eric R., 2009. "The Wealth Distribution And The Demand For Status," Macroeconomic Dynamics, Cambridge University Press, vol. 13(S1), pages 1-30, May.
  50. Jay H. Hong & Jose-Victor Rios-Rull, 2004. "Life insurance and household consumption," Working Papers 04-10, Federal Reserve Bank of Philadelphia.
  51. Aubhik Khan & Julia K. Thomas, 2004. "Inventories and the business cycle: an equilibrium analysis of (S,s) policies," Working Papers 04-11, Federal Reserve Bank of Philadelphia.
  52. Ana Casta¤eda & Javier D¡az-Gim‚nez & Jos‚-Victor R¡os-Rull, 1998. "Earnings and wealth inequality and income taxation: quantifying the tradeoffs of switching to a proportional income tax in the U.S," Working Paper 9814, Federal Reserve Bank of Cleveland.
  53. Judd, Kenneth L. & Kubler, Felix & Schmedders, Karl, 2000. "Computing equilibria in infinite-horizon finance economies: The case of one asset," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 1047-1078, June.
  54. Julia K. Thomas & Aubhik Khan, 2010. "Credit Shocks and Aggregate Fluctuations in an Economy with Production Heterogeneity," 2010 Meeting Papers 801, Society for Economic Dynamics.
  55. Aubhik Khan & Julia K. Thomas, . "Nonconvex Factor Adjustments in Equilibrium Business Cycle Models: Do Nonlinearities Matter?," GSIA Working Papers 2000-E33, Carnegie Mellon University, Tepper School of Business.
  56. Telmer, Chris I. & Zin, Stanley E., 2002. "Prices as factors: Approximate aggregation with incomplete markets," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1127-1157, July.
  57. Enrique G. Mendoza & Katherine A. Smith, 2004. "Quantitative Implication of A Debt-Deflation Theory of Sudden Stops and Asset Prices," NBER Working Papers 10940, National Bureau of Economic Research, Inc.
  58. Bingbing Dong, 2014. "Asset Pricing and Monetary Policy," 2014 Meeting Papers 881, Society for Economic Dynamics.
  59. Yann Algan & Olivier Allais & Eva Carceles-Poveda, 2009. "Macroeconomic Effects of Financial Policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 12(4), pages 678-696, October.
  60. Denis Gorea, 2013. "Tax Avoidance, Welfare Transfers, and Asset Prices," 2013 Meeting Papers 1054, Society for Economic Dynamics.
  61. Michał Gradzewicz & Krzysztof Makarski & Joanna Tyrowicz, 2013. "Do We Really Need to Start From Scratch? Economic Theory on Economic Crises," Working Papers 2013-17, Faculty of Economic Sciences, University of Warsaw.
  62. Cristina Arellano & Enrique Mendoza, 2002. "Fricciones crediticias y 'paradas repentinas' en pequeñas economías abiertas: un marco de equilibrio del ciclo económico para crisis en mercados emergentes," Research Department Publications 4308, Inter-American Development Bank, Research Department.
  63. Bertola, G., 1998. "Marcroeconomics of Distribution and Growth," Economics Working Papers eco98/39, European University Institute.
  64. Grey Gordon, 2011. "Computing Dynamic Heterogeneous-Agent Economies: Tracking the Distribution," PIER Working Paper Archive 11-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  65. Christopher House, 2008. "Fixed Costs and Long-Lived Investments," 2008 Meeting Papers 3, Society for Economic Dynamics.
  66. Krueger, Dirk & Kubler, Felix, 2004. "Computing equilibrium in OLG models with stochastic production," Journal of Economic Dynamics and Control, Elsevier, vol. 28(7), pages 1411-1436, April.
  67. James J. Heckman & Carmen Pagés, 2004. "Law and Employment: Lessons from Latin America and the Caribbean," NBER Books, National Bureau of Economic Research, Inc, number heck04-1, September.
  68. Edouard Challe & Xavier Ragot, 2010. "Aggregate Consumption in Times of Crisis: The Role of Financial Frictions -super-1," CESifo Economic Studies, CESifo, vol. 56(4), pages 627-648, December.
  69. Silos, Pedro, 2007. "Housing, portfolio choice and the macroeconomy," Journal of Economic Dynamics and Control, Elsevier, vol. 31(8), pages 2774-2801, August.
  70. Horvath, Michal, 2012. "Computational accuracy and distributional analysis in models with incomplete markets and aggregate uncertainty," Economics Letters, Elsevier, vol. 117(1), pages 276-279.
  71. 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.
  72. Juan Carlos Hatchondo, 2008. "A quantitative study of the role of wealth inequality on asset prices," Economic Quarterly, Federal Reserve Bank of Richmond, issue Win, pages 73-96.
  73. Yann Algan & Olivier Allais & Edouard Challe & Xavier Ragot, 2012. "Monetary Shocks Under Incomplete Markets," Sciences Po publications info:hdl:2441/1j0a1p4ifa9, Sciences Po.
  74. Den Haan, Wouter J., 2010. "Assessing the accuracy of the aggregate law of motion in models with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 34(1), pages 79-99, January.
  75. Virgiliu Midrigan, 2005. "Menu Costs, Multi-Product Firms and Aggregate Fluctuations," Macroeconomics 0511004, EconWPA.
  76. Philippe Bacchetta & Kenza Benhima & Yannick Kalantzis, 2016. "Money and Capital in a Persistent Liquidity Trap," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 16.12, Université de Lausanne, Faculté des HEC, DEEP.
  77. Geppert, Christian & Ludwig, Alexander & Abiry, Raphael, 2016. "Secular stagnation? Growth, asset returns and welfare in the next decades: First results," SAFE Working Paper Series 145, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  78. Krueger, Dirk & Lustig, Hanno, 2006. "The Irrelevance of Market Incompleteness for the Price of Aggregate Risk," CEPR Discussion Papers 5936, C.E.P.R. Discussion Papers.
  79. Fernando Alvarez & Urban J. Jermann, . "Quantitative Asset Pricing Implications of Endogenous Solvency Constraints," Rodney L. White Center for Financial Research Working Papers 10-99, Wharton School Rodney L. White Center for Financial Research.
  80. Fabrizio Perri & Dirk Krueger, 2008. "How does Household Consumption Respond to Income Shocks? Evidence and Theory," 2008 Meeting Papers 910, Society for Economic Dynamics.
  81. Eva Carceles Poveda & Arpad Abraham, 2004. "Endogenous Trading Constraints with Incomplete Asset Markets," 2004 Meeting Papers 667, Society for Economic Dynamics.
  82. Yili Chien & Junsang Lee, 2009. "Why Tax Capital?," CAMA Working Papers 2009-05, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  83. Ruediger Bachmann & Jinhui Bai, 2012. "Online Appendix to "Politico-Economic Inequality and the Comovement of Government Purchases"," Technical Appendices 11-243, Review of Economic Dynamics.
  84. Ivan Werning, 2016. "Incomplete Markets and Aggregate Demand," 2016 Meeting Papers 932, Society for Economic Dynamics.
  85. Jasmina Hasanhodzic & Laurence J. Kotlikoff, 2013. "Generational Risk–Is It a Big Deal?: Simulating an 80-Period OLG Model with Aggregate Shocks," BYU Macroeconomics and Computational Laboratory Working Paper Series 2013-01, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
  86. Christensen, Peter Ove & Larsen, Kasper & Munk, Claus, 2012. "Equilibrium in securities markets with heterogeneous investors and unspanned income risk," Journal of Economic Theory, Elsevier, vol. 147(3), pages 1035-1063.
  87. repec:hal:wpaper:halshs-00587686 is not listed on IDEAS
  88. Shuhei Takahashi, 2015. "Time-Varying Wage Risk, Incomplete Markets, and Business Cycles," KIER Working Papers 912, Kyoto University, Institute of Economic Research.
  89. House, Christopher L., 2014. "Fixed costs and long-lived investments," Journal of Monetary Economics, Elsevier, vol. 68(C), pages 86-100.
  90. Marco Cozzi, 2014. "The Krusell-Smith Algorithm: Are Self-fulfilling Equilibria Likely?," Working Papers 1323, Queen's University, Department of Economics.
  91. Katherine A. Smith, 2011. "Can Financing Constraints Explain The Asset Pricing Puzzles In Production Economies?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(3), pages 739-765, 08.
  92. Bachmann, Ruediger & Bayer, Christian, 2009. "Firm-specific productivity risk over the business cycle: facts and aggregate implications," Discussion Paper Series 1: Economic Studies 2009,15, Deutsche Bundesbank, Research Centre.
  93. Bayer, Christian & Lütticke, Ralph & Pham-Do, Lien & Tjaden, Volker, 2015. "Precautionary Savings, Illiquid Assets, and the Aggregate Consequences of Shocks to Household Income Risk," CEPR Discussion Papers 10849, C.E.P.R. Discussion Papers.
  94. Cristina Arellano & Enrique G. Mendoza, 2002. "Credit Frictions and 'Sudden Stops' in Small Open Economies: An Equilibrium Business Cycle Framework for Emerging Markets Crises," NBER Working Papers 8880, National Bureau of Economic Research, Inc.
  95. Ruediger Bachmann & Jinhui Bai, 2010. "Government Purchases Over the Business Cycle: the Role of Economic and Political Inequality," NBER Working Papers 16247, National Bureau of Economic Research, Inc.
  96. Daniel Harenberg & Ludwig, Alexander, 2015. "Idiosyncratic Risk, Aggregate Risk, and the Welfare Effects of Social Security," MEA discussion paper series 201403, Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy.
  97. Andreas Bachmann, 2015. "Lumpy investment and variable capacity utilization: firm-level and macroeconomic implications," Diskussionsschriften dp1510, Universitaet Bern, Departement Volkswirtschaft.
  98. Krusell, Per & Kuruscu, Burhanettin & Smith, Anthony Jr., 2002. "Time orientation and asset prices," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 107-135, January.
  99. Zhang, Harold H., 2000. "Explaining bond returns in heterogeneous agent models: The importance of higher-order moments," Journal of Economic Dynamics and Control, Elsevier, vol. 24(10), pages 1381-1404, September.
  100. Bonneuil, Noel & Saint-Pierre, Patrick, 2008. "Beyond optimality: Managing children, assets, and consumption over the life cycle," Journal of Mathematical Economics, Elsevier, vol. 44(3-4), pages 227-241, February.
  101. Christian Bayer & Volker Tjaden, 2016. "Large Open Economies and Fixed Costs of Capital Adjustment," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 21, pages 125-146, July.
  102. Anthony A. Smith, Jr., 2003. "The Research Agenda: Business Cycles and Inequality," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 4(2), April.
  103. Eva Carceles Poveda & Arpad Abraham, 2009. "Tax Reform with Endogenous Borrowing Limits and Incomplete Asset Markets," 2009 Meeting Papers 1196, Society for Economic Dynamics.
  104. Lütticke, Ralph & Bayer, Christian & Pham, Lien & Tjaden, Volker, 2013. "Household Income Risk, Nominal Frictions, and Incomplete Markets," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79868, Verein für Socialpolitik / German Economic Association.
  105. Gomes, Francisco J & Michaelides, Alexander & Polkovnichenko, Valery, 2010. "Quantifying the Distortionary Fiscal Cost of ‘The Bailout’," CEPR Discussion Papers 7941, C.E.P.R. Discussion Papers.
  106. Favilukis, Jack, 2013. "Inequality, stock market participation, and the equity premium," Journal of Financial Economics, Elsevier, vol. 107(3), pages 740-759.
  107. Young, Eric R., 2010. "Solving the incomplete markets model with aggregate uncertainty using the Krusell-Smith algorithm and non-stochastic simulations," Journal of Economic Dynamics and Control, Elsevier, vol. 34(1), pages 36-41, January.
  108. Liu Yang, 2008. "The Real Determinants of Asset Sales," Journal of Finance, American Finance Association, vol. 63(5), pages 2231-2262, October.
  109. Geoffrey J. Warren, 2008. "Implications for Asset Pricing Puzzles of a Roll-over Assumption for the Risk-Free Asset-super-," International Review of Finance, International Review of Finance Ltd., vol. 8(3-4), pages 125-157.
  110. Batchuluun, Altantsetseg & Luo, Yulei & Young, Eric, 2014. "Portfolio Choice with Information-Processing Limits," MPRA Paper 58538, University Library of Munich, Germany.
  111. Juan Carlos Hatchondo, 2005. "A quantitative study of the role of wealth inequality on asset prices," Working Paper 05-12, Federal Reserve Bank of Richmond.
  112. Christopher L. House, 2008. "Fixed Costs and Long-Lived Investments," NBER Working Papers 14402, National Bureau of Economic Research, Inc.
  113. Midrigan, Virgiliu, 2007. "International price dispersion in state-dependent pricing models," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2231-2250, November.
  114. Midrigan, Virgiliu, 2006. "Menu costs, multi-product firms, and aggregate fluctuations," CFS Working Paper Series 2007/13, Center for Financial Studies (CFS).
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