Asset pricing implications of Pareto optimality with private information

Journal of Political Economy

Volumn 117, Issue 3, 2009, Pages 555-590

  Kocherlakota, Narayana ^a   Pistaferri, Luigi ^b  

^a UNIVERSITY OF MINNESOTA   (United States)

^b STANFORD UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

COMPARATIVE STUDY; EQUITY; INFORMATION; MARKET; PERFORMANCE ASSESSMENT; PRICE DETERMINATION; PRIVATE SECTOR; STOCHASTICITY;

EURASIA; EUROPE; ITALY; NORTH AMERICA; SOUTHERN EUROPE; UNITED KINGDOM; UNITED STATES; WESTERN EUROPE;

EID: 69249098513     PISSN: 00223808     EISSN: None     Source Type: Journal    
DOI: 10.1086/599761     Document Type: Article

References (39)

1. Alvarez, Fernando, and Urban Jermann. 2001. "Quantitative Asset Pricing Implications of Endogenous Solvency Constraints." Rev. Financial Studies 14: 1117-1151. (Pubitemid 33587863)
2. Atkeson, Andrew, and Robert E. Lucas. 1992. "On Efficient Distribution with Private Information". Rev. Econ. Studies 59: 427-453.
3. Attanasio, Orazio, James Banks, and Sarah Tanner. 2002. "Asset Holding and Consumption Volatility." J. P. E. 110: 771-792.
4. Attanasio, Orazio, Erich Battistin, and Hide Ichimura. 2004. "What Really Happened to Consumption Inequality in the US?" Working Paper no. 10338, NBER, Cambridge, MA.
5. Attanasio, Orazio, and Steven Davis. 1996. "Relative Wage Movements and the Distribution of Consumption". J. P. E. 104: 1227-1262.
6. Attanasio, Orazio, and Guglielmo Weber. 1995. "Is Consumption Growth Consistent with Intertemporal Optimization? Evidence from the Consumer Expenditure Survey." J. P. E. 103: 1121-1157.
7. Balduzzi, Pierluigi, and Tong Yao. 2007. "Testing Heterogeneous-Agent Models: An Alternative Aggregation Approach." J. Monetary Econ. 54: 369-412.
8. Betson, David. 1990. "Alternative Estimates of the Cost of Children from the 1980-1986 Consumer Expenditure Survey." U. S. Dept. Health and Human Services, Washington, DC.
9. Bosworth, Barry, Gary Burtless, and John Sabelhaus. 1991. "The Decline in Saving: Evidence from Household Surveys." Brooking Papers Econ. Activity, pp. 183-241.
10. Bound, John, and Alan Krueger. 1991. "The Extent of Measurement Error in Longitudinal Earnings Data: Do Two Wrongs Make a Right?" J. Labor Econ. 9(1):1-24.
11. Brav, Alon, George Constantinides, and Christopher C. Geczy. 2002. "Asset Pricing with Heterogeneous Consumers." J. P. E. 110: 793-824.
12. Campbell, John Y. 1999. "Asset Prices, Consumption, and the Business Cycle." In Handbook of Macroeconomics, vol. 1, edited by John B. Taylor and Michael Woodford, 1231-1303. Amsterdam: North-Holland.
13. Citro, Constance F., and Robert T. Michael. 1995. Measuring Poverty: A New Approach 1995. Washington, DC: Nat. Acad. Press.
14. Cochrane, John. 2001. Asset Pricing. Princeton, NJ: Princeton Univ. Press.
15. Cogley, Timothy. 2002. "Idiosyncratic Risk and the Equity Premium: Evidence from the Consumer Expenditure Survey." J. Monetary Econ. 49: 309-334.
16. Golosov, Michael, Narayana Kocherlakota, and Aleh Tsyvinski. 2003. "Optimal Indirect and Capital Taxation". Rev. Econ. Studies 70: 569-587.
17. Green, Edward. 1987. "Lending and the Smoothing of Uninsurable Income." In Contractual Agreements for Intertemporal Trade, edited by E. Prescott and N. Wallace. Minneapolis: Univ. Minnesota Press.
18. Hansen, Lars Peter, and Robert J. Hodrick. 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis." J. P. E. 88(5):829-853.
19. Hansen, Lars Peter, and Ravi Jagannathan. 1997. "Assessing Specification Errors in Stochastic Discount Factor Models." J. Finance 52: 557-5590.
20. Hansen, Lars Peter, and Kenneth J. Singleton. 1982. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models." Econometrica 50: 1269-1286.
21. Kocherlakota, Narayana R. 1990. "On Tests of Representative Consumer Asset Pricing Models." J. Monetary Econ. 26: 285-304.
22. -. 1996. "The Equity Premium: It's Still a Puzzle." J. Econ. Literature 34: 42-71.
23. -. 1998. "The Effects of Moral Hazard on Asset Prices When Financial Markets Are Complete." J. Monetary Econ. 41: 39-56.
24. -. 2005. "Zero Expected Wealth Taxes: A Mirrlees Approach to Optimal Dynamic Taxation". Econometrica 73: 1587-1622.
25. Kocherlakota, Narayana, and Luigi Pistaferri. 2007. "Household Heterogeneity and Real Exchange Rates." Econ. J. 117: C1-C25.
26. Light, Audrey, and Kathleen McGarry. 2004. "Why Parents Play Favorites: Explanations for Unequal Bequests." A. E. R. 94(5):1669-1681.
27. Ligon, Ethan. 1996. "Risk-Sharing and Information: Theory and Measurement in Village Economies." Working paper, Univ. California, Berkeley.
28. -. 1998. "Risk-Sharing and Information in Village Economies." Rev. Econ. Studies 65: 847-864.
29. -. 2005. "Formal Markets and Informal Insurance." Internat. Rev. Law and Econ. 25(1):75-88.
30. Mankiw, Gregory, and Stephen Zeldes. 1991. "The Consumption of Stockholders and Non-stockholders." J. Financial Econ. 29: 97-112.
31. McGarry, Kathleen, and Robert Schoeni. 1995. "Transfer Behavior in the Health and Retirement Study: Measurement and the Redistribution of Resources within the Family." J. Human Resources 30: S184-S226.
32. Meghir, Costas, and Luigi Pistaferri. 2004. "Income Variance Dynamics and Heterogeneity." Econometrica 72: 1-32.
33. Mehra, Rajnish, and Edward Prescott. 1985. "The Equity Premium: A Puzzle." J. Monetary Econ. 15: 145-161.
34. Piketty, Thomas, and Emmanuel Saez. 2003. "Income Inequality in the United States, 1913-1998." Q. J. E. 118(1):1-39.
35. Postel-Vinay, Fabian, and Jean-Marc Robin. 2002. "Equilibrium Wage Dispersion with Worker and Employer Heterogeneity." Econometrica 70: 2295-2350.
36. Rogerson, William. 1985. "Repeated Moral Hazard." Econometrica 53: 69-76.
37. Semenov, Andrei. 2004. "High-Order Consumption Moments and Asset Pricing." Working paper, York Univ.
38. Storesletten, Kjetil, Christopher Telmer, and Amir Yaron. 2001. "How Important Are Idiosyncratic Shocks? Evidence from Labor Supply." A. E. R. Papers and Proc. 91: 413-417.
39. Vissing-Jorgensen, Annette. 2002. "Limited Asset Market Participation and the Elasticity of Intertemporal Substitution". J. P. E. 110: 825-853.