Aggregate implications of micro asset market segmentation
成果类型：
Article
署名作者：
Edmond, Chris; Weill, Pierre-Olivier
署名单位：
University of Melbourne; Center for Economic & Policy Research (CEPR); University of California System; University of California Los Angeles; National Bureau of Economic Research
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/j.jmoneco.2012.03.006
发表日期：
2012
页码：
319-335
关键词：
摘要：
An extensive empirical literature finds that micro asset markets are segmented from one another. We develop a consumption-based asset pricing model to quantify the aggregate implications of a financial system comprised of many such segmented micro asset markets. We specify exogenously the level of segmentation that determines how much idiosyncratic risk traders bear in their micro market and calibrate the segmentation to match facts about systematic and idiosyncratic return volatility. In our benchmark model traders bear 30% of their idiosyncratic risk, the unconditional aggregate equity premium is 2.4% annual, and the welfare costs of segmentation are substantial, 1.8% of lifetime consumption. (C) 2012 Elsevier B.V. All rights reserved.
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