UBS Pensions Series 035) Asset Pricing with Limited Risk Sharing and Heterogeneous Agents

By Francisco Gomes, Alexander Michaelides. 2005

269 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/dc522c4c3aa4651296609472878628658c6d31eb

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Citations in the corpus

Asset Prices with Heterogeneity in Preferences and Beliefs (2014, unknown): “The models in Guvenen (2009), Isaenko (2008), and Gomes and Michaelides (2008) are also solved using numerical methods.”
The behavioural economics of climate change (2008, background): “sharing among stockholders resulting from the combination of aggregate uncertainty, borrowing constraints and idiosyncratic shocks ( Gomes and Michaelides, 2007 ).”
The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk Sharing in General Equilibrium (2017, unknown): “In this static case, however, one needs to impose some other form of exogenous shock, for example, stochastic depreciation in the rented capital stocks (e.g., Storesletten et al. 2007; Gomes and Michaelides 2008), in order to generate nontrivial volatility of the equity return.”
A parsimonious macroeconomic model for asset pricing (2009, unknown): “26Recently, Gomes and Michaelides (2008) constructed a life-cycle model where individuals pay a one-time fixed cost to become a stockholder and argued that in this setting limited participation has a much smaller impact on asset prices.”
Assessing the accuracy of the aggregate law of motion in models with heterogeneous agents (2010, unknown): “8 From the literature, it is not clear what values for the R2 are considered to be too low.20 Gomes and Michaelides (2008) are happy that all their R2s are larger than 0.99.”
Macroeconomics and Household Heterogeneity (2016, methodology): “The computational strategy follows the framework developed initially in Krusell and Smith (1998), which was further adapted by Storesletten, Telmer and Yaron (2007) and Gomes and Michaelides (2008).”
Displacement Risk and Asset Returns (2012, background): “A number of papers use an overlapping-generations framework to study asset-pricing phenomena, e.g., Abel (2003), Constantinides et al. (2002), Geanakoplos et al. (2004), DeMarzo et al. (2004, 2008), Gârleanu and Panageas (2007), Gomes and Michaelides (2008), or Storesletten et al. (2007).”