Heterogeneity and Asset Prices: An Intergenerational Approach

• 成果类型: Article; Early Access
• 署名作者: Garleanu, Nicolae; Panageas, Stavros
• 署名单位: Washington University (WUSTL); National Bureau of Economic Research; University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/722224
• 发表日期: 2023
• 关键词: labor-market; long-run; RISK; CHOICE

摘要

In an overlapping-generations economy, the consumption growth of a given cohort member (the marginal agent) differs from the aggregate consumption growth. A cohort member is faced with long-run consumption uncertainty even in the absence of aggregate (and within-cohort) consumption risk. This uncertainty allows the model to account for several stylized asset-pricing facts (high market price of risk and volatility, return predictability, low and nonvolatile interest rate) despite deterministic macroeconomic aggregates and inequality measures that are contemporaneously uncorrelated with asset returns. We devise and implement a methodology to measure the marginal agent's consumption growth and evaluate the model's quantitative implications.