全球智库信息集成服务系统(G2TT): Optimal Endowment Destruction under Campbell-Cochrane Habit Formation

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w14772
来源ID	Working Paper 14772
	Optimal Endowment Destruction under Campbell-Cochrane Habit Formation
	Lars Ljungqvist; Harald Uhlig
发表日期	2009-03-02
出版年	2009
语种	英语
摘要	Campbell and Cochrane (1999) formulate a model that successfully explains a wide variety of asset pricing puzzles, by augmenting the standard power utility function with a time-varying subsistence level, or "external habit", that adapts nonlinearly to current and past average consumption in the economy. This paper demonstrates, that this comes at the "price" of several unusual implications. For example, we calculate that a society of agents with the preferences and endowment process of Campbell and Cochrane (1999) would experience a welfare gain equivalent to a permanent increase of nearly 16% in consumption, if the government enforced one month of fasting per year, reducing consumption by 10 percent then. We examine and explain these features of the preferences in detail. We numerically characterize the solution to the social planning problem. We conclude that Campbell-Cochrance preferences will provide for interesting macroeconomic modeling challenges, when endogenizing aggregate consumption choices and government policy.
主题	Microeconomics ; Mathematical Tools ; Macroeconomics ; Consumption and Investment ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w14772
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/572448
推荐引用方式 GB/T 7714	Lars Ljungqvist,Harald Uhlig. Optimal Endowment Destruction under Campbell-Cochrane Habit Formation. 2009.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w14772.pdf（1669KB）	智库出版物		限制开放	CC BY-NC-SA	浏览