| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2862 |
| DP2862 High Public Debt in Currency Crises: Fundamentals versus Signalling Effects | |
| Alessandro Missale; PIerpaolo Benigno | |
| 发表日期 | 2001-07-09 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | This Paper solves numerically for the optimal consumption and portfolio choice of an infinitely lived investor facing short sales and borrowing constraints, undiversifiable labour income risk and a predictable time varying equity premium. The investor aggressively times the market while positive correlation between permanent earnings shocks and stock return innovations generates a substantial hedging demand for the riskless asset. Moreover, a speculative increase in savings arises when stock returns are expected to be high and conversely when future returns are expected to be low. Small information/optimization costs can make it optimal for an investor to assume i.i.d excess stock returns, both because liquidity constraints can be frequently binding and because households can smooth idiosyncratic earnings shock using a small buffer stock of wealth. |
| 主题 | International Macroeconomics |
| 关键词 | Buffer stock saving Liquidity constraints Portfolio choice Stock market mean reversion Stock market predictability |
| URL | https://cepr.org/publications/dp2862 |
| 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/531922 |
| 推荐引用方式 GB/T 7714 | Alessandro Missale,PIerpaolo Benigno. DP2862 High Public Debt in Currency Crises: Fundamentals versus Signalling Effects. 2001. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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