In this paper we examine the effect of collateral constraints and margin requirements on the prices of long-lived assets. We consider a Lucas-style infinite-horizon exchange economy with heterogenous agents and collateral constraints. In our calibrated economy collateral constraints lead to a...

In this paper we examine the volatility of asset returns in a canonical stochastic overlapping generations economy with sequentially complete markets. We show that movements in the in- tergenerational wealth distribution strongly affect asset prices since older generations have a lower...