000			02635cam a22003377 4500
001			w13555
003			NBER
005			20211020111917.0
006			m o d
007			cr cnu||||||||
008			210910s2007 mau fo 000 0 eng d
100	1		_aChien, YiLi. _929888
245	1	2	_aA Multiplier Approach to Understanding the Macro Implications of Household Finance / _cYiLi Chien, Harold Cole, Hanno Lustig.
260			_aCambridge, Mass. _bNational Bureau of Economic Research _c2007.
300			_a1 online resource: _billustrations (black and white);
490	1		_aNBER working paper series _vno. w13555
500			_aNovember 2007.
520	3		_aOur 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. In contrast to existing models with heterogeneous agents, our model matches the high volatility of returns and the low volatility of the risk-free rate.
530			_aHardcopy version available to institutional subscribers
538			_aSystem requirements: Adobe [Acrobat] Reader required for PDF files.
538			_aMode of access: World Wide Web.
588	0		_aPrint version record
690		7	_aG12 - Asset Pricing • Trading Volume • Bond Interest Rates _2Journal of Economic Literature class.
700	1		_aCole, Harold.
700	1		_aLustig, Hanno. _915690
710	2		_aNational Bureau of Economic Research.
830		0	_aWorking Paper Series (National Bureau of Economic Research) _vno. w13555.
856	4	0	_uhttps://www.nber.org/papers/w13555
856			_yAcceso en línea al DOI _uhttp://dx.doi.org/10.3386/w13555
942			_2ddc _cW-PAPER
999			_c334536 _d293098