This paper exemines the conditions for volatility pesistence in real returns in heterogeneous agent models with borrowing constraints, capital accumulation, production, and idiosyncratic endowment shocks. In contrast to previous studies, which did not include real capital accumulation and production, borrawing constraints are not necessary for the appearance of volatility persistence in real returus. However, volatility measures positively correlated with real returns and negatively correlated with gdp only when borrawing opportunity are restrictive.
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