| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP13466
|
| DP13466 Heterogeneous Households under Uncertainty |
| Pietro Veronesi
|
| 发表日期 | 2019-01-18
|
| 出版年 | 2019
|
| 语种 | 英语
|
| 摘要 | I characterize a dynamic economy under general distributions of households’ risk tolerance, endowments, and beliefs about long-term growth. As the economy expands and the stock market rises (a) the fraction of households with declining consumption-share increases; (b) the wealth-share of high risk-tolerant households increases; (c) richer households’ wealth display a higher CAPM beta; and (d) households’ portfolios change qualitatively. A log-utility investor for instance borrows in contractions but lends in expansions. Variations in uncertainty and expected growth generate trading volume due to risk sharing. Higher uncertainty increases stock prices, risk premiums, volatility, wealth inequality and the dispersion of portfolio holdings, consistently with the events in the late 1990s. |
| 主题 | Financial Economics
|
| URL | https://cepr.org/publications/dp13466
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542281
|
推荐引用方式
GB/T 7714 |
Pietro Veronesi. DP13466 Heterogeneous Households under Uncertainty. 2019.
|
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