Asset price fluctuations without aggregate shocks

Azariadis, Costas; Kaas, Leo

Asset price fluctuations without aggregate shocks

Dateien

06.pdfGröße: 187.13 KBDownloads: 341

Datum

2007

Autor:innen

Azariadis, Costas

Kaas, Leo

Publikationstyp

Zeitschriftenartikel

unikn.publication.listelement.citation.prefix.version.undefined

Journal of Economic Theory. 2007, 136(1), pp. 126-143. Available under: doi: 10.1016/j.jet.2006.06.005

Zusammenfassung

We analyze the pricing of a productive asset in a class of dynamic exchange economies with heterogeneous, infinitely-lived agents, and self-enforcing intertemporal trades. Individual incomes fluctuate and are correlated; preferences, dividends and aggregate income are fixed. Almost all economies in this class have a unique stationary Markovian equilibrium with fluctuations in asset prices.As the set of unrationed households changes over time and states, excess demand functions shift, asset returns fluctuate, and some households are shut out of asset markets. Examples suggest that the amplitude of these movements is negatively correlated with the productivity of the asset and with the penalty for default.

Fachgebiet (DDC)

330 Wirtschaft

Schlagwörter

Asset prices, Limited commitment, Debt constraints

Zitieren

ISO 690

AZARIADIS, Costas, Leo KAAS, 2007. Asset price fluctuations without aggregate shocks. In: Journal of Economic Theory. 2007, 136(1), pp. 126-143. Available under: doi: 10.1016/j.jet.2006.06.005

BibTex

@article{Azariadis2007Asset-11865,
  year={2007},
  doi={10.1016/j.jet.2006.06.005},
  title={Asset price fluctuations without aggregate shocks},
  number={1},
  volume={136},
  journal={Journal of Economic Theory},
  pages={126--143},
  author={Azariadis, Costas and Kaas, Leo}
}

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Universitätsbibliographie

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