The Representative Agent of an Economy with External Habit Formation and Heterogeneous Risk Aversion

• 成果类型: Article
• 署名作者: Xiouros, Costas; Zapatero, Fernando
• 署名单位: BI Norwegian Business School; University of Southern California
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhq029
• 发表日期: 2010
• 页码: 3017
• 关键词: Exchange economy; equity premium; asset prices; consumption; volatility; preferences; variance; returns; joneses

摘要

In this article, we derive an analytic expression for the representative agent of a large class of economies populated by agents with catching up with the Joneses preferences, but who exhibit heterogeneous risk aversion. As Chan and Kogan (2002) show numerically, the representative agent has stochastic risk that moves countercyclically to the state variable. However, we show that heterogeneity of risk aversion alone is insufficient for explaining empirical regularities-namely the variability of the Sharpe ratio-that Campbell and Cochrane (1999) obtain in a model of a representative agent with stochastic risk aversion. (JEL D53, E43, G12)