کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5070016 | 1373232 | 2006 | 6 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Asset trading volume in infinite-horizon economies with dynamically complete markets and heterogeneous agents: Comment
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
In a recent paper, Judd et al. [2003. Journal of Finance 58, 2203-2217] study asset trading in a version of the standard Lucas infinite horizon economy with heterogeneous agents. They report the surprising finding that (for generic economies in their class), in equilibrium, there is no trade in (long-lived) assets after the initial date. This note points out that the conclusions of Judd et al. [2003. Journal of Finance 58, 2203-2217] are artifacts of the assumption that asset dividends and individual endowments follow the same stationary finite state Markov process. Without this assumption-and even if asset dividends and aggregate endowments follow the same stationary process-there will necessarily be trade at many histories.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 3, Issue 2, June 2006, Pages 96-101
Journal: Finance Research Letters - Volume 3, Issue 2, June 2006, Pages 96-101
نویسندگان
Peter Bossaerts, William R. Zame,