Asset pricing with time preference shocks: Existence and uniqueness

• 成果类型: Article
• 署名作者: Stachurski, John; Wilms, Ole; Zhang, Junnan
• 署名单位: Australian National University; University of Hamburg; Tilburg University; Xiamen University; Xiamen University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2023.105781
• 发表日期: 2024
• 关键词: Asset pricing; recursive preferences; Time preference shocks; Long-run risk

摘要

This paper studies existence and uniqueness of recursive utility in asset pricing models with time preference shocks. We provide conditions that clarify existence and uniqueness for a wide range of models, including exact necessary and sufficient conditions for standard formulations. The conditions isolate the roles of preference parameters, as well as the different risks that drive the consumption and preference shock processes. By deriving and decomposing a stability coefficient for recursive utility models, we show how different parameters in the model interact to determine existence and uniqueness of solutions.