Asset returns in an endogenous growth model with incomplete markets

DOI10.1016/S0165-1889(03)00062-9MaRDI QIDQ951498zbMATH OpenOpenAlexFDO

Authors Tom Krebs, Bonnie Wilson

Publication date 24 October 2008

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1889(03)00062-9

zbMATH Keywords

asset returnsendogenous growthheterogeneous agentsincomplete markets

Mathematics Subject Classification ID

Individual preferences (91B08) Economic growth models (91B62) Heterogeneous agent models (91B69) Stochastic models in economics (91B70)

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Cites work

• A simple model of incomplete insurance The case of permanent shocks
• An empirical analysis of earnings dynamics among men in the PSID: 1968--1989
• An Intertemporal General Equilibrium Model of Asset Prices
• Asset Prices in an Exchange Economy
• Dynamic programming with homogeneous functions
• Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets
• Income Variance Dynamics and Heterogeneity
• Optimum consumption and portfolio rules in a continuous-time model
• Rational Asset Pricing Bubbles
• SOLVING DYNAMIC MODELS WITH AGGREGATE SHOCKS AND HETEROGENEOUS AGENTS
• Testable implications of consumption-based asset pricing models with incomplete markets.
• The risk-free rate in heterogeneous-agent incomplete-insurance economies

Cited in

(11)

• A simple model of incomplete insurance The case of permanent shocks
• Labor market dynamics, endogenous growth, and asset prices
• Risk and return in a dynamic general equilibrium model
• Returns-to-scale and the equity premium puzzle
• Labour Relations and Asset Returns
• Small‐cost asymptotics for long‐term growth rates in incomplete markets
• Human capital values and returns: bounds implied by earnings and asset returns data
• IDIOSYNCRATIC SHOCKS AND ASSET RETURNS IN THE REAL-BUSINESS-CYCLE MODEL: AN APPROXIMATE ANALYTICAL APPROACH
• WELFARE GAINS FROM STABILIZATION IN A STOCHASTICALLY GROWING ECONOMY WITH IDIOSYNCRATIC SHOCKS AND FLEXIBLE LABOR SUPPLY
• Asset pricing with endogenously uninsurable tail risk
• Recursive equilibrium in endogenous growth models with incomplete markets

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