| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5597 |
| DP5597 The Global Chilling Effects of Antidumping Proliferation | |
| Hylke Vandenbussche; Maurizio Zanardi | |
| 发表日期 | 2006-04-03 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | Habit formation has been proposed as a possible solution to the equity premium puzzle. This paper extends the class of models that support the habits explanation in order to account for heterogeneity in earnings, wealth, habits and consumption. I find that habit formation does indeed increase the equity premium. However, contrary to earlier results, the habit hypothesis does not imply a price for risk as big as the one measured in the data. There are three reasons for this. First, households in a habits economy modify their consumption/savings decision. Second, they modify their portfolio choice. These two changes in behavior diminish the consumption fluctuations faced by households. And third, the composition of the set of agents pricing risk in the economy changes so that relatively better self-insured households end up pricing risk. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Equity premium Habit formation Incomplete markets |
| URL | https://cepr.org/publications/dp5597 |
| 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/534456 |
| 推荐引用方式 GB/T 7714 | Hylke Vandenbussche,Maurizio Zanardi. DP5597 The Global Chilling Effects of Antidumping Proliferation. 2006. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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