| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9897 |
| DP9897 Asset Prices in a Lifecycle Economy | |
| Roger Farmer | |
| 发表日期 | 2014-03-16 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | The representative agent model (RA) has dominated macroeconomics for the last thirty years. This model does a reasonably good job of explaining the co-movements of consumption, investment, GDP and employment during normal times. But it cannot easily explain movements in asset prices. Two facts are hard to understand 1) The return to equity is highly volatile and 2) The premium for holding equity, over a safe government bond, is large. The equity premium has two parts; a risk premium and a term premium. This paper constructs a lifecycle model in which agents of different generations have different savings rates and I use this model to account for a high term premium and a volatile stochastic discount factor. The fact the term premium is large, accounts for a substantial part of the observed equity premium. |
| 主题 | International Macroeconomics |
| 关键词 | Asset prices Equity premium puzzle Excess volatility puzzle |
| URL | https://cepr.org/publications/dp9897 |
| 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/538731 |
| 推荐引用方式 GB/T 7714 | Roger Farmer. DP9897 Asset Prices in a Lifecycle Economy. 2014. |
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