G2TT
来源类型Discussion paper
规范类型论文
来源IDDP2541
DP2541 Measuring the Equilibrium Effects of Unemployment Benefits Dispersion
Gerard Van den Berg; G Ridder; Aico van Vuuren
发表日期2000-08-29
出版年2000
语种英语
摘要This paper describes the equilibrium of a discrete-time exchange economy in which consumers with arbitrary subjective discount factors and quasi-homothetic period utility functions follow linear Markov consumption and portfolio strategies. Explicit expressions are given for state prices and consumption-wealth ratios. If utility is logarithmic or endowment growth is i.i.d., then this economy is observationally equivalent to one in which consumers discount geometrically. We provide analytically convenient continuous-time approximations and examine the effects of non-geometric subjective discount factors in an economy in which log endowments are subject to temporary and permanent shocks that are governed by a Feller (1951) square-root process. Hyperbolic and quasi-hyperbolic discount factors can significantly increase the volatility of aggregate wealth and raise the expected excess return on aggregate wealth.
主题Financial Economics
关键词Hyperbolic discounting General equilibrium Asset pricing Consumption-wealth ratios Volatility
URLhttps://cepr.org/publications/dp2541
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/531615
推荐引用方式
GB/T 7714
Gerard Van den Berg,G Ridder,Aico van Vuuren. DP2541 Measuring the Equilibrium Effects of Unemployment Benefits Dispersion. 2000.
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