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来源类型Working Paper
规范类型报告
DOI10.3386/w22228
来源IDWorking Paper 22228
Pricing Assets in an Economy with Two Types of People
Roger E.A. Farmer
发表日期2016-05-09
出版年2016
语种英语
摘要This paper constructs a general equilibrium model with two types of people where asset price fluctuations are caused by random shocks to the price level that reallocate consumption across generations. In this model, asset prices are volatile, and price-earnings ratios are persistent, even though there is no fundamental uncertainty and financial markets are sequentially complete. I show that the model can explain a substantial risk premium while generating smooth time series for consumption and financial assets across types. In my model, asset price fluctuations are Pareto inefficient and there is a role for treasury or central bank intervention to stabilize asset prices.
主题Macroeconomics ; Financial Economics ; Portfolio Selection and Asset Pricing
URLhttps://www.nber.org/papers/w22228
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/579902
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GB/T 7714
Roger E.A. Farmer. Pricing Assets in an Economy with Two Types of People. 2016.
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