The Library
Pricing assets in a perpetual youth model
Tools
Tools
Tools
Farmer, Roger E. A. (2018) Pricing assets in a perpetual youth model. Review of Economic Dynamics, 30 . pp. 106-124. doi:10.1016/j.red.2018.04.003
|
PDF
WRAP-pricing-assets-perpetual-youth-model-Farmer-2018.pdf - Accepted Version - Requires a PDF viewer. Available under License Creative Commons Attribution Non-commercial No Derivatives 4.0. Download (797Kb) | Preview |
Official URL: https://doi.org/10.1016/j.red.2018.04.003
Abstract
This paper constructs a general equilibrium model where asset price fluctuations are caused by random shocks to beliefs about the future 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. In my model, asset price fluctuations are Pareto inefficient and there is a role for treasury or central bank intervention to stabilize asset price volatility.
| Item Type: | Journal Article | ||||||||
|---|---|---|---|---|---|---|---|---|---|
| Subjects: | H Social Sciences > HB Economic Theory Q Science > QA Mathematics |
||||||||
| Divisions: | Faculty of Social Sciences > Economics | ||||||||
| Library of Congress Subject Headings (LCSH): | Econometric models, Computable general equilibrium models, Time-series analysis | ||||||||
| Journal or Publication Title: | Review of Economic Dynamics | ||||||||
| Publisher: | Elsevier | ||||||||
| ISSN: | 1094-2025 | ||||||||
| Official Date: | October 2018 | ||||||||
| Dates: |
|
||||||||
| Volume: | 30 | ||||||||
| Page Range: | pp. 106-124 | ||||||||
| DOI: | 10.1016/j.red.2018.04.003 | ||||||||
| Status: | Peer Reviewed | ||||||||
| Publication Status: | Published | ||||||||
| Access rights to Published version: | Restricted or Subscription Access | ||||||||
| Related URLs: |
Request changes or add full text files to a record
Repository staff actions (login required)
 |
View Item |
Downloads
Downloads per month over past year
