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- handle: 10670/1.g7t2wj
- hal: hal-03415503
- SCIENCESPO: 2441/5l6uh8ogmqildh09h4838ip3n
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Mots-clés
Asset pricing Kreps-Porteus Epstein-Zin-Weil preferences G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates E - Macroeconomics and Monetary Economics/E.E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy/E.E2.E21 - Consumption • Saving • WealthSujets proches
Fortunes Riches Affluence Distribution of wealthCiter ce document
Fernando Restoy et al., « Approximate Equilibrium Asset Prices », Archive ouverte de Sciences Po (SPIRE), ID : 10670/1.g7t2wj
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Résumé
Arguing that total consumer wealth is unobservable, we invert the (approximate) consumption function to reconstruct, in a world with Kreps-Porteus generalized isoelastic preferences, i) the wealth that supports the agents’ observed consumption as an optimal outcome and ii) the rate of return on the consumers’ wealth portfolio. This allows us to (approximately) price assets solely as a function of their payoffs and of consumption — in both homoskedastic or heteroskedastic environments. We compare implied equilibrium returns on the wealth portfolio to observed stock market returns and gauge whether the stock market is a good proxy for unobserved aggregate wealth.