全球智库信息集成服务系统(G2TT): Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w20328
来源ID	Working Paper 20328
	Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy
	YiLi Chien; Harold L. Cole; Hanno Lustig
发表日期	2014-07-24
出版年	2014
语种	英语
摘要	This paper extends the methodology developed in Chien, Cole and Lustig (2011 & 2012) (hereafter CCL2011 and CCL2012, respectively) to analyze and compute the equilibria of economies with heterogeneous agents who have different asset trading technologies and are subject to both aggregate and idiosyncratic income risk. The different asset trading technologies, which are designed to replicate the portfolio behavior seen in the data, fall into two classes. Active traders manage the composition of their portfolios among a given set of assets in addition to choosing how much to save. Passive traders take their portfolio composition as given and choose only how much to save. There can be a wide variety of different cases within each classes. For active traders, the trading technology varies depending on the set of assets that they can use, while for passive traders it varies with the specific portfolio composition rule. In CCL2011 and CCL2012, all of our agents had to have the same CRRA flow utility functions, discount rates, and beliefs. In this extension, this restriction is relaxed greatly extending the set of economies to which our method applies. This richer degree of heterogeneity allows the model to match a number of key features of the data.
主题	Macroeconomics ; Consumption and Investment ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w20328
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/578001
推荐引用方式 GB/T 7714	YiLi Chien,Harold L. Cole,Hanno Lustig. Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy. 2014.