Evaluating the Effects of Incomplete Markets On Risk Sharing Nad Asset Pricing
Evaluating the Effects of Incomplete Markets On Risk Sharing Nad Asset Pricing
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Fficult to self-insure through the asset markets. A striking example of this is given by Constantinides and Duffie (1992), who construct cases in which labor income shocks follow a random walk and no smoothing occurs. However, the results of Table 4. 2 indicate that with the persiste ce that we consider (which matches the PSID observations of labor income) agents can still effectively smooth their idiosyncratic Income shocks. As a result, equilibrium asset prices are virtually identical to the ...comj • e markets case reported in Table 4. 1.
Gi a the parameterization used here, an increase in predicted consumption volatility appears to require the introduction of some form of trading friction. This observation motivates the experiments with transactions costs and borrowing constraints that follow.
12 The estimated autocorrelation coefficient is approximately 0. 5. We also experimented with income processes exhibiting higher persistence in the income shocks, allowing autocorrelation coefficients as high as 0.
What to read after Evaluating the Effects of Incomplete Markets On Risk Sharing Nad Asset Pricing?
You can find similar books in the "Read Also" column, or choose other free books by John Eaton to read onlineMoreLess
To quickly assess the difficulty of the text, read a short excerpt:
Fficult to self-insure through the asset markets. A striking example of this is given by Constantinides and Duffie (1992), who construct cases in which labor income shocks follow a random walk and no smoothing occurs. However, the results of Table 4. 2 indicate that with the persiste ce that we consider (which matches the PSID observations of labor income) agents can still effectively smooth their idiosyncratic Income shocks. As a result, equilibrium asset prices are virtually identical to the ...comj • e markets case reported in Table 4. 1.
Gi a the parameterization used here, an increase in predicted consumption volatility appears to require the introduction of some form of trading friction. This observation motivates the experiments with transactions costs and borrowing constraints that follow.
12 The estimated autocorrelation coefficient is approximately 0. 5. We also experimented with income processes exhibiting higher persistence in the income shocks, allowing autocorrelation coefficients as high as 0.
What to read after Evaluating the Effects of Incomplete Markets On Risk Sharing Nad Asset Pricing?
You can find similar books in the "Read Also" column, or choose other free books by John Eaton to read onlineMoreLess
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