Asset prices in a Huggett economy

DOI10.1016/J.JET.2011.04.003MaRDI QIDQ548233zbMATHOpenAlexFDO

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

incomplete marketsasset pricesborrowing constraintsequity premium

Mathematics Subject Classification ID

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

Recommendations

• Idiosyncratic Risk, Borrowing Constraints and Asset Prices
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• 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

Cites work

• A Difficulty with the Optimum Quantity of Money
• Asset Prices in an Exchange Economy
• Asset prices in a Huggett economy
• EQUILIBRIUM ASSET PRICES AND SAVINGS OF HETEROGENEOUS AGENTS IN THE PRESENCE OF INCOMPLETE MARKETS AND PORTFOLIO CONSTRAINTS
• Efficiency, Equilibrium, and Asset Pricing with Risk of Default
• 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

(14)

• Asset pricing implications of efficient risk sharing in an endowment economy
• Borrowing Constraints and Aggregate Economic Activity
• Asset shortages, liquidity and speculative bubbles
• Perron-Frobenius theory recovers more than you might think: the example of limited participation
• The risk-free rate in heterogeneous-agent incomplete-insurance economies
• Asset price fluctuations without aggregate shocks
• Introduction to incompleteness and uncertainty in economics
• IDIOSYNCRATIC SHOCKS AND ASSET RETURNS IN THE REAL-BUSINESS-CYCLE MODEL: AN APPROXIMATE ANALYTICAL APPROACH
• Fiscal multipliers: A heterogenous‐agent perspective
• Equilibrium in securities markets with heterogeneous investors and unspanned income risk
• Asset prices in a Huggett economy
• Incomplete markets and derivative assets
• Incomplete markets, liquidation risk, and the term structure of interest rates
• Block-recursive equilibria in heterogeneous-agent models

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