| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6157 |
| DP6157 An Economic Analysis of Exclusion Restrictions for Instrumental Variable Estimation | |
| Gerard Van den Berg | |
| 发表日期 | 2007-03-02 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | We solve a model with incomplete markets and heterogeneous agents that generates a large equity premium, while simultaneously matching stock market participation and individual asset holdings. The high risk premium is driven by incomplete risk sharing among stockholders, which results from the combination of aggregate uncertainty, borrowing constraints and a (realistically) calibrated life-cycle earnings profile subject to idiosyncratic shocks. We show that it is challenging to simultaneously match asset pricing moments and individual portfolio decisions, while limited participation has a negligible impact on the risk premium, contrary to the results of models where it is imposed exogenously. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Equity premium Preference heterogeneity Incomplete risk sharing Life-cycle models Limited stock market participation |
| URL | https://cepr.org/publications/dp6157 |
| 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/534995 |
| 推荐引用方式 GB/T 7714 | Gerard Van den Berg. DP6157 An Economic Analysis of Exclusion Restrictions for Instrumental Variable Estimation. 2007. |
| 条目包含的文件 | 条目无相关文件。 | |||||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Gerard Van den Berg]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Gerard Van den Berg]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Gerard Van den Berg]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
