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Persistent link: https://www.econbiz.de/10010363302
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savings rates and I use this model to account for a high term premium and a volatile stochastic discount factor. The fact the …
Persistent link: https://www.econbiz.de/10012458706
savings rates and I use this model to account for a high term premium and a volatile stochastic discount factor. The fact the …
Persistent link: https://www.econbiz.de/10013057406
I study the asset pricing implications and the efficiency of a tractable dynamic stochastic general equilibrium model with heterogeneous agents and incomplete markets along the lines of Krebs (2003a). Contrary to previous applications of these types of models, I find that generically the...
Persistent link: https://www.econbiz.de/10013033787
This paper shows that consumption-based asset pricing puzzles arise from using globally concave-shaped consumption utility. We empirically find that asset returns correlate negatively with many individuals' low-quantile consumption growth. This finding challenges most mainstream models and...
Persistent link: https://www.econbiz.de/10013244255
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...
Persistent link: https://www.econbiz.de/10013108737
We explicitly solve for the aggregate asset prices in a general equilibrium Lucas endowment economy with two agents who are heterogeneous in their time-nonseparable preferences. Time-nonseparability is modeled either as internal or external habit preferences. Equilibrium quantities -- equity...
Persistent link: https://www.econbiz.de/10013090816
We explicitly solve for the aggregate asset pricing quantities 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...
Persistent link: https://www.econbiz.de/10013113260
We explicitly solve for the aggregate asset prices in a discrete-time general-equilibrium endowment economy with two agents who differ with respect to their preferences for risk aversion and sensitivity to habit, either internal or external. We compute equilibrium quantities -- equity premium,...
Persistent link: https://www.econbiz.de/10012974985