| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w4249
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| 来源ID | Working Paper 4249
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| Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing |
| John Heaton; Deborah Lucas
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| 发表日期 | 1993
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| 出版年 | 1993
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| 语种 | 英语
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| 摘要 | We examine asset prices and consumption patterns in a model in which agents face both aggregate and idiosyncratic income shocks, and insurance markets are incomplete. Agents reduce consumption variability by trading in a stock and bond market to offset idiosyncratic shocks, but transactions costs in both markets limit the extent of trade. To calibrate the model, we estimate an empirical model of labor and dividend income, using data from the PSID and the NIPA. Although the agents in the model are not very risk averse, the model predicts a sizable equity premium and a low riskfree rate. By simultaneously considering aggregate and idiosyncratic shocks, we decompose this effect of transactions costs on the equity premium into two components. The direct effect is due to the fact that individuals equate net-of-cost margins, so an asset with lower associated transactions costs will have a lower market rate of return. A second, indirect effect occurs because transactions costs result in individual consumption that more closely tracks individual income than aggregate consumption. |
| 主题 | Macroeconomics
; Money and Interest Rates
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| URL | https://www.nber.org/papers/w4249
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/561609
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推荐引用方式
GB/T 7714 |
John Heaton,Deborah Lucas. Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing. 1993.
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文件名：
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w4249.pdf
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格式：
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Adobe PDF
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