A quantitative study of the role of wealth inequality on asset prices
By: Juan Carlos Hatchondo
Contributors: Federal Reserve Bank of Richmond
Series: Working paper -- no. 05-12; Working paper (Federal Reserve Bank of Richmond : Online) -- no. 05-12.
Publisher: Federal Reserve Bank of Richmond
Published: 2005
Place of publication: Richmond, Va.]
Language: eng
Format: [electronic resource] /
Description: "This paper studies the equilibrium properties of asset prices in a Lucas-tree model when agents display a concave coefficient of absolute risk tolerance. The latter introduces a role for wealth inequality, even under the presence of complete markets. The paper finds evidence suggesting that the role of wealth inequality on asset prices may be non-negligible. For the baseline calibration, the equity premium in the unequal economy is half a percentage point larger than the equity premium displayed by an egalitarian economy. The difference increases to one percentage point once we allow for the fact that agents tend to hold highly concentrated portfolios."--Federal Reserve Bank of Richmond web site.
Notes: Title from PDF file as viewed on Oct. 2, 2006.

Includes bibliographical references.

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Mode of access: World Wide Web.