Asset price fluctuations without aggregate shocks


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AZARIADIS, Costas, Leo KAAS, 2007. Asset price fluctuations without aggregate shocks. In: Journal of Economic Theory. 136(1), pp. 126-143

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

<rdf:RDF xmlns:rdf="" xmlns:bibo="" xmlns:dc="" xmlns:dcterms="" xmlns:xsd="" > <rdf:Description rdf:about=""> <dcterms:abstract xml:lang="eng">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.</dcterms:abstract> <dc:contributor>Azariadis, Costas</dc:contributor> <dc:creator>Kaas, Leo</dc:creator> <dcterms:rights rdf:resource=""/> <bibo:uri rdf:resource=""/> <dc:rights>deposit-license</dc:rights> <dc:creator>Azariadis, Costas</dc:creator> <dcterms:issued>2007</dcterms:issued> <dcterms:bibliographicCitation>First publ. in: Journal of Economic Theory 136 (2007), 1, pp. 126-143</dcterms:bibliographicCitation> <dcterms:available rdf:datatype="">2011-03-25T09:40:45Z</dcterms:available> <dcterms:title>Asset price fluctuations without aggregate shocks</dcterms:title> <dc:format>application/pdf</dc:format> <dc:date rdf:datatype="">2011-03-25T09:40:45Z</dc:date> <dc:contributor>Kaas, Leo</dc:contributor> <dc:language>eng</dc:language> </rdf:Description> </rdf:RDF>

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