Asset prices and asset quantities
成果类型：
Article; Proceedings Paper
署名作者：
Piazzesi, Monika; Schneider, Martin
署名单位：
University of Chicago; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis
刊物名称：
JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
ISSN/ISSBN：
1542-4766
DOI：
10.1162/jeea.2007.5.2-3.380
发表日期：
2007
页码：
380-389
关键词：
摘要：
We propose an organizing framework that determines asset prices by equating household sector asset demand derived from an economic model to the observed supply of assets provided by other sectors. We then use a specific model of household asset demand to decompose historical changes in asset positions into changes in new asset supply and household income, as well as changes in return expectations. Our findings show that supply and income changes are important determinants of the wealth-to-GDP ratio and real estate positions, and return expectations are the key determinant of equity positions.
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