| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w13555 |
| 来源ID | Working Paper 13555 |
| A Multiplier Approach to Understanding the Macro Implications of Household Finance | |
| YiLi Chien; Harold Cole; Hanno Lustig | |
| 发表日期 | 2007-11-14 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | Our paper examines the impact of heterogeneous trading technologies for households on asset prices and the distribution of wealth. We distinguish between passive traders who hold fixed portfolios of stocks and bonds, and active traders who adjust their portfolios to changes in expected returns. To solve the model, we derive an optimal consumption sharing rule that does not depend on the trading technology, and we derive an aggregation result for state prices. This allows us to solve for equilibrium prices and allocations without having to search for market-clearing prices in each asset market separately. We show that the fraction of total wealth held by active traders, not the fraction held by all participants, is critical for asset prices, because only these traders respond to variation in state prices and hence absorb the residual aggregate risk created by non-participants. We calibrate the heterogeneity in trading technologies to match the equity premium and the risk-free rate. The calibrated model reproduces the skewness and kurtosis of the wealth distribution in the data. In contrast to existing models with heterogeneous agents, our model matches the high volatility of returns and the low volatility of the risk-free rate. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w13555 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/571262 |
| 推荐引用方式 GB/T 7714 | YiLi Chien,Harold Cole,Hanno Lustig. A Multiplier Approach to Understanding the Macro Implications of Household Finance. 2007. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w13555.pdf（406KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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