A Multiplier Approach to Understanding the Macro Implications of Household Finance
2012/06/05
研討會日期 : 2012-06-05
時間 : 14:30
主講人 : Professor YiLi Chien
地點 : Confertence Room C103
演講者簡介 : YiLi Chien received his Ph.D. in Economics from University of California, Los Angeles in 2006. He is currently serving as Assistant Professor of Economics at Purdue University. His research field is in macroeconomics, household finance and asset pricing, asymmetric information and dynamic contracting.
演講摘要 : Our paper examines the impact of heterogeneous trading technologies for households on asset prices and the distribution of wealth. We distinguish between passive traders who hold fixed portfolios of stocks and bonds, and active traders who adjust their portfolios to changes in expected returns. To solve the model, we derive an optimal consumption sharing rule that does not depend on the trading technology, and we derive an aggregation result for state prices. This allows us to solve for equilibrium prices and allocations without having to search for market-clearing prices in each asset market separately. We show that the fraction of total wealth held by active traders, not the fraction held by all participants, is critical for asset prices, because only these traders respond to variation in state prices and hence absorb the residual aggregate risk created by non-participants. We calibrate the heterogeneity in trading technologies to match the equity premium and the risk-free rate. The calibrated model reproduces the skewness and kurtosis of the wealth distribution in the data.
