Abstract
This paper relates fluctuations in asset prices to stochastic arrival of agents with different discount factors. I show that even arbitrarily small and rare shocks could lead to an arbitrarily high average equity premium while average interest rates remain arbitrarily close to the average rate of productivity growth.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 203-207 |
| Number of pages | 5 |
| Journal | Economics Letters |
| Volume | 64 |
| Issue number | 2 |
| State | Published - Aug 1 1999 |
Keywords
- Asset prices
- G12
- Heterogeneous agents
- Wealth distribution
ASJC Scopus subject areas
- Finance
- Economics and Econometrics
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Cite this
Sandroni, A. (1999). Asset prices and the distribution of wealth. Economics Letters, 64(2), 203-207.