| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22228 |
| 来源ID | Working 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 |
| URL | https://www.nber.org/papers/w22228 |
| 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/579902 |
| 推荐引用方式 GB/T 7714 | Roger E.A. Farmer. Pricing Assets in an Economy with Two Types of People. 2016. |
| 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 | ||
| w22228.pdf（581KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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