in a model with non-durable and durable consumption. The stock of the durable is exposed to risk against which households … because agents can time-diversify their risk. Market insurance implies welfare gains of around .6% in terms of non …-durable consumption. Introducing labor income risk into the model does not necessarily increase the importance of market insurance if the …

We study an intertemporal consumption and portfolio choice problem under Knightian uncertainty in which agent … plans. We obtain explicit solutions in a stationary setting in which the financial market has different risk premia for …

Empirical proxies for permanent shocks to durables consumption growth are shown to generate strong pricing implications … for both one-period and long-run risk return tradeoff in a cross-section of test assets. This factor is identified as an … additional source of consumption risk in a structural model where investors are endowed with recursive preferences over …

depreciation rate of durables in China to be 0.16. … response. By combining this marginal spending share on durables with an average spending share of 14%, we estimate the annual …