Asset prices in a Huggett economy

DOI10.1016/j.jet.2011.04.003zbMath1246.91052OpenAlexW2122264426MaRDI QIDQ548233

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

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 marketsequity premiumasset pricesborrowing constraints

Mathematics Subject Classification ID

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

Related Items (9)

Incomplete markets and derivative assets ⋮ Block-recursive equilibria in heterogeneous-agent models ⋮ Fiscal multipliers: A heterogenous‐agent perspective ⋮ Equilibrium in securities markets with heterogeneous investors and unspanned income risk ⋮ Incomplete markets, liquidation risk, and the term structure of interest rates ⋮ Introduction to incompleteness and uncertainty in economics ⋮ Asset prices in a Huggett economy ⋮ Asset shortages, liquidity and speculative bubbles ⋮ Perron-Frobenius theory recovers more than you might think: the example of limited participation

Cites Work

• Asset prices in a Huggett economy
• 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)?
• A Difficulty with the Optimum Quantity of Money
• Asset Prices in an Exchange Economy
• INCOME AND WEALTH HETEROGENEITY, PORTFOLIO CHOICE, AND EQUILIBRIUM ASSET RETURNS
• 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

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