Asset Pricing Implications of Pareto Optimality with Private Information

• 成果类型: Article
• 署名作者: Kocherlakota, Narayana; Pistaferri, Luigi
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research; Stanford University
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/599761
• 发表日期: 2009
• 页码: 555-590
• 关键词: equity premium; consumption; PARTICIPATION; MARKETS; RISK

摘要

We compare the empirical performance of a standard incomplete markets asset pricing model with that of a novel model with constrained Pareto-optimal allocations. We represent the models' stochastic discount factors in terms of the cross-sectional distribution of consumption and use these representations to evaluate the models' empirical implications. The first model is inconsistent with the equity premium in the United States, United Kingdom, and Italy. The second model is consistent with the equity premium and the risk-free rate in all three countries if the coefficient of relative risk aversion is roughly 5 and the quarterly discount factor is less than 0.5.