Habit persistence, asset returns, and the business cycle

• 成果类型: Article
• 署名作者: Boldrin, M; Christiano, LJ; Fisher, JDM
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; Northwestern University; Federal Reserve System - USA; Federal Reserve Bank - Chicago
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.91.1.149
• 发表日期: 2001
• 页码: 149-166
• 关键词: equity premium; consumption; prices; comovement; income; money; LABOR

摘要

Two modifications are introduced into the standard real-business-cycle model: habit preferences and a two-sector technology with limited intersectoral factor mobility. The model is consistent with the observed mean risk-free rate, equity premium, and Sharpe ratio on equity. In addition, its business-cycle implications represent a substantial improvement over the standard model. It accounts for persistence in output, comovement of employment across different sectors over the business cycle, the evidence of excess sensitivity of consumption growth to output growth, and the inverted leading-indicator property of interest rates, that interest rates are negatively correlated with future output.