| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5943 |
| DP5943 Endogenous Mode of Competition in General Equilibrium | |
| Peter Neary; Joe Tharakan | |
| 发表日期 | 2006-11-19 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | In models with a large number of agents who have constant relative risk aversion (CRRA) preferences, the absence of insurance markets for idiosyncratic labour income risk has no effect on the premium for aggregate risk if the distribution of idiosyncratic risk is independent of aggregate shocks. In spite of the missing markets, a representative agent who consumes aggregate income prices the excess returns on stocks correctly. This result holds regardless of the persistence of idiosyncratic shocks, as long as they are not permanent, even when households face binding, and potentially very tight borrowing constraints. Consequently, in this class of models there is no link between the extent of self-insurance against idiosyncratic income risk and aggregate risk premia. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | risk premium Idiosyncratic income risk Incomplete markets |
| URL | https://cepr.org/publications/dp5943 |
| 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/534777 |
| 推荐引用方式 GB/T 7714 | Peter Neary,Joe Tharakan. DP5943 Endogenous Mode of Competition in General Equilibrium. 2006. |
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