Asset Prices, Contruction Behaviour and Wealth Inequality

本文提出了一个具有有限股票市场参与和多种资产类型的异质主体模型，试图共同研究和匹配资产价格、消费行为和财富不平等数据的显著特征。目的是利用该模型来研究这三个领域之间的相互作用。虽然这种相互作用在早期的工作中已经有了经验性的证明，但还没有在一个能够再现这三个领域共同的“程式化事实”的统一框架内进行研究。在过去的三十年里，宏观经济学和金融学中的异质代理模型的发展取得了令人印象深刻的进展。这些模型已经被用来分析广泛的问题。例如，Guvenen（2009）和Garleanu和Panageas（2015）使用它们来研究资产价格，Kaplan和Violante（2014）以及Kaplan et. al.（2018）已经使用它们来研究消费行为。此外，Kreugeret。al.（2016）和Gomez（2018）分别使用它们来研究财富不平等与消费行为以及财富不平等与资产价格之间的相互作用。尽管这些模型在分别再现资产价格、消费行为和财富不平等数据的显著特征方面相当成功，但在考虑联合数据时，它们就不那么成功了。例如，Gomez（2018）记录了最先进的模型，

I propose a heterogenous agent model with limited stock market participationand multiple asset types in an attempt to jointly study and match the salientfeatures of the data on asset prices, consumption behavior and wealthinequality. The aim is to use the model to study the interplay between thesethree areas. Although this interplay has been empirically documented inearlier work it has not yet been studied within a unified framework that is ableto reproduce joint ''stylized facts'' of the three areas.Impressive progress has been made in the development of heterogenousagent models in macroeconomics and finance over the past three decades.These models have been used to analyze a broad range of issues. Forinstance, Guvenen (2009) and Garleanu and Panageas (2015) have usedthem to study asset prices, Kaplan and Violante (2014) and Kaplan et. al.(2018) have used them to study consumption behavior. In addition, Kreugeret. al. (2016) and Gomez (2018) have used them for studying the interplaybetween wealth inequality and consumption behavior and wealth inequalityand asset prices, respectively. Although these models have been quitesuccessful in reproducing the salient features of the data on asset prices,consumption behavior and wealth inequality separately, they have been lesssuccessful in doing this when considering the joint data.\\For instance, Gomez (2018) documents that state-of-the-art models with