| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25448 |
| 来源ID | Working Paper 25448 |
| Heterogeneous Households under Uncertainty | |
| Pietro Veronesi | |
| 发表日期 | 2019-01-14 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | I characterize a dynamic economy under general distributions of households’ risk tolerance, endowments, and beliefs about long-term growth. As the economy expands and the stock market rises (a) the fraction of households with declining consumption-share increases; (b) the wealth-share of high risk-tolerant households increases; (c) richer households’ wealth display a higher CAPM beta; and (d) households’ portfolios change qualitatively. A log-utility investor for instance borrows in contractions but lends in expansions. Variations in uncertainty and expected growth generate trading volume due to risk sharing. Higher uncertainty increases stock prices, risk premiums, volatility, wealth inequality and the dispersion of portfolio holdings, consistently with the events in the late 1990s. |
| 主题 | Macroeconomics ; Consumption and Investment ; Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w25448 |
| 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/583122 |
| 推荐引用方式 GB/T 7714 | Pietro Veronesi. Heterogeneous Households under Uncertainty. 2019. |
| 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 | ||
| w25448.pdf（481KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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