Asset prices, asset stocks and rational expectations
Asset prices, asset stocks and rational expectations
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资产价格、资产存量与理性预期
DOI：
10.1016/0304-3932(83)90023-5
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发表时间：
1983
影响因子：
4.1
通讯作者：
C. Walsh
中科院分区：
文献类型：
--
作者：
C. Walsh
本文探讨了资产收益协方差与资产存量变化对资产价格影响之间的关系。在此过程中，本文调和了最近关于政府债务存量变化对股票价格影响的相互矛盾的结果。还导出了理性预期均衡下资产价格的解。该解决方案具有以下性质：在该解决方案隐含的价格下，每种资产的需求等于其供给，并且该解决方案隐含的未来资产价格的分布与资产持有者的需求所依据的分布相同。
This paper explores the relationship between asset return covariances and the impact of asset stock changes on asset prices. In the process the paper reconciles recent contradictory results on the effect of changes in the stock of government debt on equity prices. A solution for asset prices in a rational expectations equilibrium is also derived. This solution has the property that at the prices implied by the solution the demand for each asset equals its supply and the distribution of future asset prices implied by the solution is identical to the distribution upon which asset holders base their demands.