Who Bears Aggregate Fluctuations and How?

Parker, Jonathan A.; Vissing‐Jørgensen, Annette

doi:10.3386/w14665

Cited by 23 publications

(10 citation statements)

References 7 publications

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“…Specifically, aggregate trading volume and prices are positively correlated, and time on the market is negatively correlated, with the value of the S&P 500 index. These correlations are consistent with the ideas that corporate demand for aircraft depends on the stock-market valuation of the corporation; and that wealthy individuals face significant exposure to aggregate stock-market fluctuations, thereby affecting their demand-an idea consistent with broader evidence on their consumption reported in, among others, Mankiw and Zeldes (1991) and Parker and Vissing-Jørgensen (2009).…”

Section: Data Descriptionsupporting

confidence: 79%

An Empirical Equilibrium Model of a Decentralized Asset Market

Gavazza¹

2016

Econometrica

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I estimate a search-and-bargaining model of a decentralized market to quantify the effects of trading frictions on asset allocations, asset prices and welfare, and to quantify the effects of intermediaries that facilitate trade. Using business-aircraft data, I find that, relative to the Walrasian benchmark, 18.3 percent of the assets are misallocated; prices are 19.2-percent lower; and the aggregate welfare losses equal 23.9 percent.Dealers play an important role in reducing trading frictions: In a market with no dealers, a larger fraction of assets would be misallocated, and prices would be higher.However, dealers reduce aggregate welfare because their operations are costly, and they impose a negative externality by decreasing the number of agents' direct transactions. * I am grateful to Ricardo Lagos, Jonathan Levin, Gianluca Violante, Pierre-Olivier Weill, the co-editor and two anonymous referees, and many seminar audiences for useful comments and discussions. Mi Luo provided excellent research assistance.

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Section: Data Descriptionsupporting

confidence: 79%

An Empirical Equilibrium Model of a Decentralized Asset Market

Gavazza¹

2016

Econometrica

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“…7 Recent work by Guvenen et al (2014) shows that top incomes rise substantially more than average incomes in expansions in the USA. Parker and Vissing-Jorgensen (2009) show that consumption growth of high-consumption households in the USA is much more exposed to aggregate fluctuations than consumption growth of the typical household. Our model is meant to capture this feature of the data in a stylized way.…”

Section: Discounted Euler Equation Modelmentioning

confidence: 97%

The Discounted Euler Equation: A Note

2017

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We present a simple model with income risk and borrowing constraints that yields a 'discounted Euler equation'. This feature of the model mutes the extent to which news about far future real interest rates (i.e. forward guidance) affects current outcomes. We show that this simple model approximates the outcomes of a rich model with uninsurable income risk and borrowing constraints in response to a forward guidance shock. The model is simple enough to be easily incorporated into simple New Keynesian models. We illustrate this with an application to the zero lower bound.

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“…Many studies have shown that all economic swings have cultural and social effects, but, in major downswings, changes can be profound (e.g. Forrest and Murie 1994, Ruhm 2005, Parker and Vissing-Jorgensen 2009. For example, the Great Depression may be regarded as a social and cultural era as well as economic one (Cowen 2009).…”

Section: Landscape Variablesmentioning

confidence: 98%

Values of environmental landscape amenities during the 2000–2006 real estate boom and subsequent 2008 recession

Cho

Kim

Roberts

2011

Journal of Environmental Planning and Management

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This research suggests that consumers' marginal willingness to pay for environmental landscape attributes, such as water view, developed open space and forest-land open space, decreased during the 2008 recession compared to the 2000-2006 real estate boom. Estimates were obtained from a spatial hedonic housing price model after controlling for household location patterns and structural differences between the periods. Because the decline in amenity values was probably due to a temporary deterioration in economic conditions, the amenity values will probably rebound with economic recovery. Thus, development decisions based on the lower estimated amenity values measured during a temporary deterioration in economic conditions may be determined suboptimal post-economic recovery.

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Who Bears Aggregate Fluctuations and How?

Cited by 23 publications

References 7 publications

An Empirical Equilibrium Model of a Decentralized Asset Market

An Empirical Equilibrium Model of a Decentralized Asset Market

The Discounted Euler Equation: A Note

Values of environmental landscape amenities during the 2000–2006 real estate boom and subsequent 2008 recession

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