Heterogeneity, aggregate uncertainty, and the short-term interest rate

Journal of Business and Economic Statistics

Volumn 14, Issue 4, 1996, Pages 399-411

  Den Haan, Wouter J ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Asset pricing; Dynamic equilibrium model; Large set of state variables; Numerical algorithm

Indexed keywords

EID: 0030507889     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.1996.10524669     Document Type: Article

References (29)

1. Aiyagari, S. R., and Gertler, M. (1991), “Asset Returns With Transactions Costs and Uninsured Individual Risk,” Journal of Monetary Economics, 27, 311-332.
2. Carroll, C. D. (1992), “The Buffer-Stock Theory of Saving: Some Macroeconomic Evidence,” Brookings Papers on Economic Activity, 2, 61-156.
3. Christiano, L. J., and Fisher, J. D. M. (1994), “Algorithms for Solving Dynamic Models With Occasionally Binding Constraints,” working paper, Northwestern University and University of Western Ontario, Dept, of Economics.
4. Coleman, W. J. (1990), “Solving the Stochastic Growth Model by Policy-Function Iteration,” Journal of Business & Economic Statistics, 8, 27-29.
5. Den Haan, W. J., and Marcet, A. (1990), “Solving the Stochastic Growth Model by Parameterizing Expectations,” Journal of Business & Economic Statistics, 8, 31-34.
6. Den Haan, W. J., and Marcet, A. (1994), “Accuracy in Simulations,” Review of Economic Studies, 61, 3-18.
7. Den Haan, W. J., and Spear, S. A. (1994), “Volatility Clustering in Real Interest Rates,” Discussion Paper 95-17, University of California at San Diego, Dept, of Economics.
8. Diaz-Gimenez, J., and Prescott, E. C. (1992), “Liquidity Constraints in Economies With Aggregate Fluctuations: A Quantitative Exploration,” Staff Report 149, Federal Reserve Bank of Minneapolis.
9. Duffie, D., Geanakoplos, J., Mas-Colell, A., and McLennan, A. (1994), “Stationary Markov Equilibria,” Econometrica, 62, 745-782.
10. Engen, E. M., and Gale, W. G. (1993), “IRA’s and Saving in a Stochastic Life-Cycle Model,” working paper, University of California at Los Angeles, Dept, of Economics.
11. Heaton, J., and Lucas, D. J. (1992a), “The Effects of Incomplete Insurance Markets and Trading Costs in a Consumption-Based Asset Pricing Model,” Journal of Economic Dynamics and Control, 6, 601-620.
12. Heaton, J., and Lucas, D. J. (1992b), “Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing,” working paper, Northwestern University, Dept, of Economics.
13. Imrohoroglu, A. (1989), “Cost of Business Cycles With Indivisibilities and Liquidity Constraints,” Journal of Political Economy, 97, 1364-1383.
14. Judd, K. L. (1992), “Projection Methods for Solving Aggregate Growth Models,” Journal of Economic Theory, 58, 410-452.
15. Kimball, M. S. (1990), “Precautionary Saving in the Small and in the Large,” Econometrica, 58, 53-73.
16. Krusell, P., and Smith, A. A., Jr. (1994), “Aggregation in a Macroeconomic Model With Heterogeneous Consumers,” Working Paper 399, Rochester Center for Economic Research.
17. Levine, D. K. (1989), “Infinite Horizon Equilibrium With Incomplete Markets,” Journal of Mathematical Economies, 18, 357-376.
18. Levine, D. K., and Zame, W. R. (1993), “Debt Constraints and Equilibrium in Infinite Horizon Economies With Incomplete Markets,” working paper, University of California at Los Angeles and Johns Hopkins University, Dept, of Economics.
19. Lucas, D. J. (1995), “Asset Pricing With Undiversifiable Income Risk and Short Sales Constraints: Deepening the Equity Premium Puzzle,” Journal of Monetary Economics, 34, 325-342.
20. Magill, M., and Quinzii, M. (1994), “Infinite Horizon Incomplete Markets,” Econometrica, 62, 853-880.
21. Mankiw, N. G. (1986), “The Equity Premium and the Concentration of Aggregate Shocks,” Journal of Financial Economics, 17, 211-219.
22. Marcet, A. (1989), “Solving Non-Linear Stochastic Models by Parameterizing Expectations: An Application to Asset Pricing With Production,” working paper, Universitat Pompeu Fabra, Dept, of Economics.
23. Marcet, A., and Singleton, K. J. (1990), “Equilibrium Asset Prices and Savings of Heterogeneous Agents in the Presence of Portfolio Constraints,” working paper, Universitat Pompeu Fabra, Dept, of Economics.
24. Marcet, A., and Marshall, D. A. (1994), “Convergence of Approximate Model Solutions to Rational Expectations Equilibria Using the Method of Parameterized Expectations,” Working Paper WP-94-20, Federal Reserve Bank of Chicago, Research Dept.
25. Press, W. H., Teukolsky, S. A., Vetterling, W. T., and Flannery, B. P. (1992), Numerical Recipes in Fortran, Cambridge, U.K.: Cambridge University Press.
26. Saito, M. (1992), “On Risk Premia in an Economy With Stockholders and Non-Stockholders: A Simple Explanation of the Mehra and Prescott Puzzle,” Working Paper 92-34, University of British Columbia, Dept, of Economics.
27. Telmer, C. I. (1993), “Asset Pricing Puzzles and Incomplete Markets,” Journal of Finance, 48, 1803-1832.
28. Weil, P. (1992), “Equilibrium Asset Prices With Undiversifiable Labor Income Risk,” Journal of Economic Dynamics and Control, 6, 769-790.
29. Zhang, H. H. (1993), “Asset Returns and Volume in a Financial Market With Frictions,” working paper, Carnegie Mellon University, Graduate School of Industrial Administration.