Inequality risk premia
成果类型：
Article
署名作者：
Johnson, Timothy C.
署名单位：
University of Illinois System; University of Illinois Urbana-Champaign
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/j.jmoneco.2012.06.008
发表日期：
2012
页码：
565-580
关键词：
摘要：
Using a long time-series of U.S. income inequality, I find that the market pays higher prices for assets that hedge against increased inequality. This is consistent with the prediction of an incomplete-markets model incorporating preferences over both comparative and noncomparative consumption goods when the weight on the former is large. The model implies that the time-series properties of the premium can be used to identify the substitutability of these two sources of utility. There is evidence that the magnitude of the (negative) inequality risk premium is countercyclical, suggesting that agents care more about status when they are worse off. (C) 2012 Elsevier B.V. All rights reserved.
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