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Pricing assets in a perpetual youth model

Author: Roger E A Farmer; National Bureau of Economic Research,
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 2018.
Series: Working paper series (National Bureau of Economic Research), no. 24261.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Roger E A Farmer; National Bureau of Economic Research,
OCLC Number: 1020679900
Notes: "January 2018"
Description: 1 online resource (35 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 24261.
Responsibility: Roger Farmer.

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.

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