Asset prices in a Huggett economy
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Publication:548233
DOI10.1016/J.JET.2011.04.003zbMATH Open1246.91052OpenAlexW2122264426MaRDI QIDQ548233FDOQ548233
Anthony A. jun. Smith, Toshihiko Mukoyama, Per Krusell
Publication date: 28 June 2011
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: https://economicdynamics.org/meetpapers/2008/paper_181.pdf
Recommendations
- Idiosyncratic Risk, Borrowing Constraints and Asset Prices
- Borrowing Constraints and Aggregate Economic Activity
- INCOME AND WEALTH HETEROGENEITY, PORTFOLIO CHOICE, AND EQUILIBRIUM ASSET RETURNS
- ASSET PRICING WITH BORROWING CONSTRAINTS AND EX ANTE HETEROGENEITY
- Asset price fluctuations without aggregate shocks
Microeconomic theory (price theory and economic markets) (91B24) Special types of economic markets (including Cournot, Bertrand) (91B54)
Cites Work
- Efficiency, Equilibrium, and Asset Pricing with Risk of Default
- Asset Prices in an Exchange Economy
- The risk-free rate in heterogeneous-agent incomplete-insurance economies
- INCOME AND WEALTH HETEROGENEITY, PORTFOLIO CHOICE, AND EQUILIBRIUM ASSET RETURNS
- Asset prices in a Huggett economy
- When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?
- A Difficulty with the Optimum Quantity of Money
- EQUILIBRIUM ASSET PRICES AND SAVINGS OF HETEROGENEOUS AGENTS IN THE PRESENCE OF INCOMPLETE MARKETS AND PORTFOLIO CONSTRAINTS
Cited In (14)
- Asset pricing implications of efficient risk sharing in an endowment economy
- Perron-Frobenius theory recovers more than you might think: the example of limited participation
- Introduction to incompleteness and uncertainty in economics
- Borrowing Constraints and Aggregate Economic Activity
- IDIOSYNCRATIC SHOCKS AND ASSET RETURNS IN THE REAL-BUSINESS-CYCLE MODEL: AN APPROXIMATE ANALYTICAL APPROACH
- The risk-free rate in heterogeneous-agent incomplete-insurance economies
- Asset shortages, liquidity and speculative bubbles
- Equilibrium in securities markets with heterogeneous investors and unspanned income risk
- Incomplete markets and derivative assets
- Asset prices in a Huggett economy
- Asset price fluctuations without aggregate shocks
- Block-recursive equilibria in heterogeneous-agent models
- Fiscal multipliers: A heterogenous‐agent perspective
- Incomplete markets, liquidation risk, and the term structure of interest rates
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