Asset price fluctuations without aggregate shocks

• 成果类型: Article
• 署名作者: Azariadis, Costas; Kaas, Leo
• 署名单位: University of Konstanz; University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2006.06.005
• 发表日期: 2007
• 页码: 126-143
• 关键词: asset prices; limited commitment; debt constraints

摘要

We analyze the pricing of a productive asset in a class of dynamic exchange economies with heterogeneous, infinitely-lived agents, and self-enforcing intertemporal trades. Individual incomes fluctuate and are correlated; preferences, dividends and aggregate income are fixed. Almost all economies in this class have a unique stationary Markovian equilibrium with fluctuations in asset prices. As the set of unrationed households changes over time and states, excess demand functions shift, asset returns fluctuate, and some households are shut out of asset markets. Examples suggest that the amplitude of these movements is negatively correlated with the productivity of the asset and with the penalty for default. (C) 2006 Elsevier Inc. All rights reserved.