Asset prices in a Huggett economy

DOI10.1016/J.JET.2011.04.003MaRDI QIDQ548233zbMATH OpenOpenAlexFDO

Authors Per Krusell, Toshihiko Mukoyama, Anthony A. jun. Smith

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

zbMATH Keywords

asset pricesborrowing constraintsequity premiumincomplete markets

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Special types of economic markets (including Cournot, Bertrand) (91B54)

Recommendations

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• ASSET PRICING WITH BORROWING CONSTRAINTS AND EX ANTE HETEROGENEITY
• Asset price fluctuations without aggregate shocks

Cites work

• A Difficulty with the Optimum Quantity of Money
• Asset prices in a Huggett economy
• Asset Prices in an Exchange Economy
• Efficiency, Equilibrium, and Asset Pricing with Risk of Default
• EQUILIBRIUM ASSET PRICES AND SAVINGS OF HETEROGENEOUS AGENTS IN THE PRESENCE OF INCOMPLETE MARKETS AND PORTFOLIO CONSTRAINTS
• INCOME AND WEALTH HETEROGENEITY, PORTFOLIO CHOICE, AND EQUILIBRIUM ASSET RETURNS
• The risk-free rate in heterogeneous-agent incomplete-insurance economies
• When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?

Cited in

(20)

• Asset shortages, liquidity and speculative bubbles
• Perron-Frobenius theory recovers more than you might think: the example of limited participation
• Incomplete markets, liquidation risk, and the term structure of interest rates
• Asset price fluctuations without aggregate shocks
• Incomplete markets and derivative assets
• Borrowing Constraints and Aggregate Economic Activity
• Equilibrium in securities markets with heterogeneous investors and unspanned income risk
• ASSET PRICING WITH BORROWING CONSTRAINTS AND EX ANTE HETEROGENEITY
• INCOME AND WEALTH HETEROGENEITY, PORTFOLIO CHOICE, AND EQUILIBRIUM ASSET RETURNS
• Asset pricing implications of efficient risk sharing in an endowment economy
• Introduction to incompleteness and uncertainty in economics
• Asset prices in a Huggett economy
• IDIOSYNCRATIC SHOCKS AND ASSET RETURNS IN THE REAL-BUSINESS-CYCLE MODEL: AN APPROXIMATE ANALYTICAL APPROACH
• Block-recursive equilibria in heterogeneous-agent models
• Fiscal multipliers: A heterogenous‐agent perspective
• HANK beyond FIRE: amplification, forward guidance, and belief shocks
• The risk-free rate in heterogeneous-agent incomplete-insurance economies
• Monetary policy and heterogeneity: an analytical framework
• The unemployment-risk channel in business-cycle fluctuations
• Uncovering asset market participation from household consumption and income

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