An Experimental Comparison of Two Exchange Economies: Long-Lived Asset vs. Short-Lived Asset

• 成果类型: Article
• 署名作者: Carbone, Enrica; Hey, John; Neugebauer, Tibor
• 署名单位: Universita della Campania Vanvitelli; University of York - UK; University of Luxembourg
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2020.3855
• 发表日期: 2021
• 页码: 6946-6962
• 关键词: asset market experiment; Lucas tree model; Bewley incomplete markets; intertemporal choice; exchange economy; general equilibrium; consumption smoothing; credit market; Herfindahl index; term structure of Sharpe ratios

摘要

The Lucas tree model [Lucas RE Jr (1978) Asset prices in an exchange economy. Econometrica 46(6):1429-1445.] lies at the heart of modern macrofinance. At its core, it provides an analysis of the equilibrium price of a long-lived asset in an exchange economy where consumption is the objective and the sole purpose of the asset is to smooth consumption through time. Experimental tests of the model use a particular instantiation of the Lucas model. Here we adopt a different instantiation to the first two, extending their analyses from a two-period oscillating world to a three-period cyclical world; this is partly to test the robustness of their results. We also go one step further and compare this solution (to a consumption-smoothing problem), in which consumption claims are traded via the longlived asset, with the alternative solution provided by a market, in which agents can directly trade (short-lived) consumption claims between periods. We find that the latter exchange economy is more efficient in encouraging consumption smoothing than the economy with the long-lived asset. We find evidence of uncompetitive trading in both markets.