| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w11132
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| 来源ID | Working Paper 11132
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| The Market Price of Aggregate Risk and the Wealth Distribution |
| Hanno Lustig; Yi-Li Chien
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| 发表日期 | 2005-02-14
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| 出版年 | 2005
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| 语种 | 英语
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| 摘要 | We introduce limited liability in a model with a continuum of ex ante identical agents who face aggregate and idiosyncratic income risk. These agents can trade a complete menu of contingent claims, but they cannot commit and shares in a Lucas tree serve as collateral to back up their state-contingent promises. The limited liability option gives rise to a second risk factor, in addition to aggregate consumption growth risk. This liquidity risk is created by binding solvency constraints, and it is measured by the growth rate of one moment of the wealth distribution. The economy is said to experience a negative liquidity shock when this growth rate is high and a large fraction of agents faces severely binding solvency constraints. The adjustment to the Breeden-Lucas stochastic discount factor induces substantial time variation in equity risk premia that is consistent with the data at business cycle frequencies. |
| 主题 | Financial Economics
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| URL | https://www.nber.org/papers/w11132
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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/568769
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推荐引用方式
GB/T 7714 |
Hanno Lustig,Yi-Li Chien. The Market Price of Aggregate Risk and the Wealth Distribution. 2005.
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文件名：
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w11132.pdf
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格式：
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Adobe PDF
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