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Journal Article

Asset Prices and Asset Quantities

Monika Piazzesi and Martin Schneider
Journal of the European Economic Association
Vol. 5, No. 2/3, Proceedings of the Twenty-First Annual Congress of the European Economic Association (Apr. - May, 2007), pp. 380-389
Published by: Oxford University Press
Stable URL: http://www.jstor.org/stable/40005042
Page Count: 10
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Asset Prices and Asset Quantities
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Abstract

We propose an organizing framework that determines asset prices by equating household sector asset demand derived from an economic model to the observed supply of assets provided by other sectors. We then use a specific model of household asset demand to decompose historical changes in asset positions into changes in new asset supply and household income, as well as changes in return expectations. Our findings show that supply and income changes are important determinants of the wealth- to-GDP ratio and real estate positions, and return expectations are the key determinant of equity positions.

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