dc.contributor.author | Lansing, Kevin J. | |
dc.date.accessioned | 2018-05-03T10:54:22Z | |
dc.date.available | 2018-05-03T10:54:22Z | |
dc.date.issued | 2011 | |
dc.identifier.isbn | 978-82-7553-634-9 | |
dc.identifier.issn | 1502-8143 | |
dc.identifier.uri | http://hdl.handle.net/11250/2496941 | |
dc.description.abstract | This paper investigates how concentrated ownership of capital influences the pricing of risky assets in a production economy. The model is designed to approximate the skewed distribution of wealth and income in U.S. data. I show that concentrated ownership significantly magnifies the equity risk premium relative to an otherwise similar representative-agent economy because the capital owners' consumption is more strongly linked to volatile dividends from equity. A temporary shock to the technology for producing new capital (an "investment shock") causes dividend growth to be much more volatile than aggregate consumption growth, as in long-run U.S. data. The investment shock can also be interpreted as a depreciation shock, or more generally, a financial friction that affects the supply of new capital. Under power utility with a risk aversion coeffecient of 3.5, the model can roughly match the first and second moments of key asset pricing variables in long-run U.S. data, including the historical equity risk premium. About one-half of the model equity premium is attributable to the investment shock while the other half is attributable to a standard productivity shock. On the macro side, the model performs reasonably well in matching the business cycle moments of aggregate variables, including the pro-cyclical movement of capital's share of total income in U.S. data. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | Norges Bank | nb_NO |
dc.relation.ispartofseries | Working Papers;18/2011 | |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/deed.no | * |
dc.subject | JEL: E25 | nb_NO |
dc.subject | JEL: E32 | nb_NO |
dc.subject | JEL: E44 | nb_NO |
dc.subject | JEL: G12 | nb_NO |
dc.subject | JEL: O40 | nb_NO |
dc.subject | asset pricing | nb_NO |
dc.subject | equity premium | nb_NO |
dc.subject | term premium | nb_NO |
dc.subject | investment shocks | nb_NO |
dc.subject | real business cycles | nb_NO |
dc.subject | wealth inequality | nb_NO |
dc.title | Asset Pricing with Concentrated Ownership of Capital | nb_NO |
dc.type | Working paper | nb_NO |
dc.description.version | publishedVersion | nb_NO |
dc.subject.nsi | VDP::Samfunnsvitenskap: 200::Økonomi: 210::Samfunnsøkonomi: 212 | nb_NO |
dc.source.pagenumber | 39 | nb_NO |