Search Results

No results found.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:Asset pricing model 

Report
A Demand System Approach to Asset Pricing

This Staff Report was previously titled "An Equilibrium Model of Institutional Demand and Asset Prices." {{p}} We develop an asset pricing model with rich heterogeneity in asset demand across investors, designed to match institutional holdings data. The equilibrium price vector is uniquely determined by market clearing, which equates the supply of each asset to aggregate demand. We estimate the model on U.S. stock market data by instrumental variables, under an identifying assumption that allows for price impact. The model sheds light on the role of institutions in stock market ...
Staff Report , Paper 510

FILTER BY Series

FILTER BY Content Type

Report 1 items

FILTER BY Author

FILTER BY Jel Classification

G12 1 items

G23 1 items

PREVIOUS / NEXT