| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3083 |
| DP3083 The 'New Keynesian' Phillips Curve: Closed Economy versus Open Economy | |
| Assaf Razin; Chi-Wa Yuen | |
| 发表日期 | 2001-11-23 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | Constantines and Duffie (1996) show that for Idiosyncratic risk to matter for asset pricing the shocks must (i) be highly persistent and (ii) become more volatile during economic contractions. We show that data from the Panel Study on Income Dynamics (PSID) are consistent with these requirements. Our results are based on econometric methods that incorporate macroeconomic information going beyond the time horizon of the PSID, dating back to 1910. We go on to argue that life-cycle effects are fundamental for how idiosyncratic risk affects asset pricing. We use a stationary overlapping-generations model to show that life-cycle effects can either mitigate or accentuate the equity premium, the critical ingredient being whether agents accumulate or deccumulate risky assets as they age. Our model predicts the latter and is able to account for both the average equity premium and the Sharpe ratio observed on the US stock market. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Psid Life-cycle effects |
| URL | https://cepr.org/publications/dp3083 |
| 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/532115 |
| 推荐引用方式 GB/T 7714 | Assaf Razin,Chi-Wa Yuen. DP3083 The 'New Keynesian' Phillips Curve: Closed Economy versus Open Economy. 2001. |
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