| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP11681
|
| DP11681 Habits and Leverage |
| Pietro Veronesi; Tano Santos
|
| 发表日期 | 2016-12-03
|
| 出版年 | 2016
|
| 语种 | 英语
|
| 摘要 | Many stylized facts of leverage, trading, and asset prices follow from a frictionless general equilibrium model that features agents’ heterogeneity in endowments and habit preferences. Our model predicts that aggregate debt increases in good times when stock
prices are high, return volatility is low, and levered agents enjoy a “consumption boom.” Our model is consistent with poorer agents borrowing more and with recent evidence on intermediaries’ leverage being a priced factor of asset returns. In crisis times, levered
agents strongly deleverage by “fire selling” their risky assets as asset prices drop. Yet, consistently with the data, their debt-to-wealth ratios increase because their wealth decline faster due to higher discount rates. |
| 主题 | Financial Economics
|
| URL | https://cepr.org/publications/dp11681
|
| 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/540495
|
推荐引用方式
GB/T 7714 |
Pietro Veronesi,Tano Santos. DP11681 Habits and Leverage. 2016.
|
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