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- W2337701956 abstract "I study comparative statics of asset prices in a representative-agent model where dividends are vector-geometric Brownian motions. Due to wealth eects, the equilibrium relative price of a security may vary with the current realization of a component of the Brownian vector even when its dividend is independent of that component. I examine analytically an element of wealth eects that has hitherto been ignored by the literature. Changes in wealth do not operate only through changes in risk aversion. They alter also the riskiness of a security by changing the correlation between its payo and the marginal utility of equilibrium consumption. This enhances the extent to which market-clearing leads to endogenously-generated correlation across asset prices and returns, over and above that induced by correlation between payos, giving the appearance of contagion. I also establish a necessary and sucient condition for the securities market to be dynamically complete when it is potentially so. It applies for any utility function of the representative agent." @default.
- W2337701956 created "2016-06-24" @default.
- W2337701956 creator A5053811360 @default.
- W2337701956 date "2010-01-01" @default.
- W2337701956 modified "2023-09-23" @default.
- W2337701956 title "Comparative Statics of General Equilibrium Asset Prices" @default.
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