A Multiplier Approach to Understanding the Macro Implications of Household Finance
研究了家庭异质性交易技术对资产价格和财富分布的影响，区分被动和主动交易者，发现主动交易者持有的财富份额对资产价格至关重要，校准模型匹配了股权溢价、无风险利率及财富分布的偏度和峰度。
Our paper examines the impact of heterogeneous trading technologies for households on asset prices and the distribution of wealth. We distinguish between passive traders who hold fixed portfolios of stocks and bonds, and active traders who adjust their portfolios to changes in expected returns. To solve the model, we derive an optimal consumption sharing rule that does not depend on the trading technology, and we derive an aggregation result for state prices. This allows us to solve for equilibrium prices and allocations without having to search for market clearing prices in each asset market separately. We show that the fraction of total wealth held by active traders, not the fraction held by all participants, is critical for asset prices because only these traders respond to variation in state prices and hence absorb the residual aggregate risk created by non-participants. We calibrate the heterogeneity in trading technologies to match the equity premium and the risk-free rate. The calibrated model reproduces the skewness and kurtosis of the wealth distribution in the data. In contrast to existing asset pricing models with heterogeneous agents, our model matches the high volatility of returns and the low volatility of the risk-free rate.