Krueger, Dirk; Lustig, Hanno; Perri, Fabrizio - In: Journal of the European Economic Association 6 (2008) 2-3, pp. 715-726
We evaluate the asset pricing implications of a class of models in which risk sharing is imperfect because of limited enforcement of intertemporal contracts. Lustig (2004) has shown that in such a model the asset pricing kernel can be written as a simple function of the aggregate consumption...