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Asset Prices, Substitution Effects, and the Impact of Changes in Asset Stocks

Author: Carl E Walsh; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 1980.
Series: Working paper series (National Bureau of Economic Research), no. w0566.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
Summary:
The standard result in macroeconomic models is that an increase in the stock of government debt has an ambiguous effect on aggregate demand. Models which have derived this result have assumed that all assets are gross substitutes. Some recent work within the framework of mean-variance portfolio models, however, seems to imply that the assumption that all assets are gross substitutes is sufficient to determine  Read more...
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Additional Physical Format: Print version:
Walsh, Carl E.
Asset prices, substitution effects, and the impact of changes in asset stocks.
Cambridge, MA : National Bureau of Economic Research 1980
(OCoLC)11056738
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Carl E Walsh; National Bureau of Economic Research.
OCLC Number: 756574073
Description: 1 online resource.
Series Title: Working paper series (National Bureau of Economic Research), no. w0566.
Responsibility: Carl E. Walsh.

Abstract:

The standard result in macroeconomic models is that an increase in the stock of government debt has an ambiguous effect on aggregate demand. Models which have derived this result have assumed that all assets are gross substitutes. Some recent work within the framework of mean-variance portfolio models, however, seems to imply that the assumption that all assets are gross substitutes is sufficient to determine whether an increase in government debt is expansionary or contractionary. This apparent inconsistency is resolved by showing that gross substitutability is sufficient to sign the impact of a change in government debt only when money is riskless. To carry out the analysis, portfolio choice and equilibrium asset prices are characterized in a new way through the use of a distance function.

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