Endogenous asset market segmentation

Ination and Interest Rates with Endogenous Market Segmentation

We examine a monetary economy wherein endogenous asset market segmentation permits the extent of household participation in open market operations to smoothly vary with changes in aggregate conditions. While we impose no stickiness at the microeconomic level in either prices or portfolio adjustment, we …nd that our ‡exible asset market segmentation can deliver gradual adjustment in the aggregat...

Endogenous asset market segmentation : interest rate dynamics

Revisiting the Tale of Two Interest Rates with Endogenous Asset Market Segmentation

We develop a monetary model that is unique in its ability to deliver a negative correlation between aggregate consumption growth and short-term real interest rates consistent with U.S. data. The essential ingredient to this success is endogenous asset market segmentation permitting the extent of household participation in asset markets to vary smoothly with changes in aggregate conditions. Hous...

Aggregate Implications of Micro Asset Market Segmentation∗

This paper develops a consumption-based asset pricing model to explain and quantify the aggregate implications of a frictional financial system, comprised of many financial markets partially integrated with one-another. Each of our micro financial markets is inhabited by traders who are specialized in that market’s type of asset. We specify exogenously the level of segmentation that ultimately ...

Asset Pricing Under Endogenous Expectations in an Artificial Stock Market

We propose a theory of asset pricing based on heterogeneous agents who continually adapt their expectations to the market that these expectations aggregatively create. And we explore the implications of this theory computationally using our Santa Fe artificial stock market. Asset markets, we argue, have a recursive nature in that agents’ expectations are formed on the basis of their anticipatio...

Valuation of Near-Market Endogenous Assets∗

For many kinds of assets, the growth rate of the real asset stock is a nonlinear function of the economic owner’s decision whether to invest or extract the asset. Examples within the economy are primarily biological assets, both privately owned (such as those found in aquaculature and agriculture) and publicly owned or regulated (such as fish stocks, and in some case, timber stocks.) Optimal ex...