Dubin, Eduard; Grishchenko, Olesya V.; Kartashov, Vasily - Federal Reserve Board (Board of Governors of the … - 2012
We study the asset pricing implications of a general equilibrium Lucas endowment economy inhabited by two agents with habit formation preferences. Preferences are modeled either as internal or external habits. We allow for agents' heterogeneity in relative risk aversion and habit strength. We...