Registered Data

[02674] General Equilibrium with Unhedgeable Fundamentals and Heterogeneous Agents

  • Session Time & Room : 3C (Aug.23, 13:20-15:00) @A508
  • Type : Contributed Talk
  • Abstract : We solve a general equilibrium model in which aggregate consumption has uninsurable growth shocks, rendering the market dynamically incomplete. Agents' stochastic discount factors depend on the history of unhedgeable shocks, agents trade assets dynamically, and the dispersion of agents' preferences impacts both the interest rate and asset prices, hence no representative agent exists.
  • Classification : 91B50
  • Format : Talk at Waseda University
  • Author(s) :
    • Marko Hans Weber (National University of Singapore)
    • Paolo Guasoni (Dublin City University)