Time orientation and asset prices

• 成果类型: Article
• 署名作者: Krusell, P; Kurusçu, B; Smith, AA
• 署名单位: University of Rochester; Center for Economic & Policy Research (CEPR); Carnegie Mellon University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(01)00095-2
• 发表日期: 2002
• 页码: 107-135
• 关键词: Asset pricing

摘要

We analyze a general-equilibrium asset pricing model where a small subset of the consumers/investors have a short-run urge to save. That is, their attitude toward consumption in the long run is a standard one - they do place zero weight on consumption far enough out in the future - but their short-run effective rates of discount may be negative. Our model, which is an elaboration on the framework proposed by Faruk Gul and Wolfgang Pesendorfer, does not feature time inconsistencies. Thus, we view consumers as fully rational, but subject to specific internal frictions in the form of temptation and self-control problems. The model nests the Mehra-Prescott model and we use it as a way of interpreting the wealth and asset pricing data. Some aspects of these data, we argue, can possibly be better understood using our model than the standard one. (C) 2002 Published by Elsevier Science B.V.