| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17199 |
| 来源ID | Working Paper 17199 |
| The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous | |
| Ngoc-Khanh Tran; Richard J. Zeckhauser | |
| 发表日期 | 2011-07-08 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | Movements in asset prices are a major risk confronting individuals. This paper establishes new asset pricing results when agents differ in risk preference, time preference and/or expectations. It shows that risk tolerance is a critical concept driving savings decisions, consumption allocations, prices and return volatilities. Surprisingly, due to the equilibrium risk sharing, the precautionary savings motive in the aggregate can vastly exceed that of even the most prudent actual agent in the economy. Consequently, a low real interest rate, resulting from large aggregate savings, can prevail with reasonable risk aversions for all agents. One downside of a large aggregate savings motive is that savings rates become extremely sensitive to output fluctuation. Thus, the same mechanism that produces realistically low interest rates tends to make them unrealistically volatile. |
| 主题 | Microeconomics ; General Equilibrium ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w17199 |
| 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/574874 |
| 推荐引用方式 GB/T 7714 | Ngoc-Khanh Tran,Richard J. Zeckhauser. The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous. 2011. |
| 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 | ||
| w17199.pdf（673KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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