The market price of aggregate risk and the wealth distribution:
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2005
|
| Schriftenreihe: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
11132 |
| Schlagwörter: | |
| Links: | http://papers.nber.org/papers/w11132.pdf |
| Abstract: | "I introduce bankruptcy into a complete markets model with a continuum of ex ante identical agents who have power utility. Shares in a Lucas tree serve as collateral. The model yields a large equity premium, a low risk-free rate and a time-varying market price of risk for reasonable risk aversion. Bankruptcy gives rise to a second risk factor in addition to aggregate consumption growth risk. This liquidity risk is created by binding solvency constraints. The risk is measured by one moment of the wealth distribution, which multiplies the standard Breeden-Lucas stochastic discount factor. This captures the aggregate shadow cost of the solvency constraints. The economy is said to experience a negative liquidity shock when this growth rate is high and a large fraction of agents faces severely binding solvency constraints. These shocks occur in recessions. The average investor wants a high excess return on stocks to compensate for the extra liquidity risk, because of low stock returns in recessions. In that sense stocks are "bad collateral". The adjustment to the Breeden-Lucas stochastic discount factor raises the unconditional risk premium and induces time variation in conditional risk premia"--National Bureau of Economic Research web site. |
| Umfang: | 58 S. graph. Darst. |
Internformat
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| 490 | 1 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 11132 | |
| 520 | 3 | |a "I introduce bankruptcy into a complete markets model with a continuum of ex ante identical agents who have power utility. Shares in a Lucas tree serve as collateral. The model yields a large equity premium, a low risk-free rate and a time-varying market price of risk for reasonable risk aversion. Bankruptcy gives rise to a second risk factor in addition to aggregate consumption growth risk. This liquidity risk is created by binding solvency constraints. The risk is measured by one moment of the wealth distribution, which multiplies the standard Breeden-Lucas stochastic discount factor. This captures the aggregate shadow cost of the solvency constraints. The economy is said to experience a negative liquidity shock when this growth rate is high and a large fraction of agents faces severely binding solvency constraints. These shocks occur in recessions. The average investor wants a high excess return on stocks to compensate for the extra liquidity risk, because of low stock returns in recessions. In that sense stocks are "bad collateral". The adjustment to the Breeden-Lucas stochastic discount factor raises the unconditional risk premium and induces time variation in conditional risk premia"--National Bureau of Economic Research web site. | |
| 650 | 4 | |a Ökonometrisches Modell | |
| 650 | 4 | |a Bankruptcy | |
| 650 | 4 | |a Econometric models | |
| 650 | 4 | |a Risk |x Econometric models | |
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Datensatz im Suchindex
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| id | DE-604.BV023591337 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T13:23:16Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016906667 |
| oclc_num | 58045384 |
| open_access_boolean | 1 |
| owner | DE-521 DE-19 DE-BY-UBM |
| owner_facet | DE-521 DE-19 DE-BY-UBM |
| physical | 58 S. graph. Darst. |
| publishDate | 2005 |
| publishDateSearch | 2005 |
| publishDateSort | 2005 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Lustig, Hanno Verfasser (DE-588)124560040 aut The market price of aggregate risk and the wealth distribution Hanno Lustig Cambridge, Mass. National Bureau of Economic Research 2005 58 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11132 "I introduce bankruptcy into a complete markets model with a continuum of ex ante identical agents who have power utility. Shares in a Lucas tree serve as collateral. The model yields a large equity premium, a low risk-free rate and a time-varying market price of risk for reasonable risk aversion. Bankruptcy gives rise to a second risk factor in addition to aggregate consumption growth risk. This liquidity risk is created by binding solvency constraints. The risk is measured by one moment of the wealth distribution, which multiplies the standard Breeden-Lucas stochastic discount factor. This captures the aggregate shadow cost of the solvency constraints. The economy is said to experience a negative liquidity shock when this growth rate is high and a large fraction of agents faces severely binding solvency constraints. These shocks occur in recessions. The average investor wants a high excess return on stocks to compensate for the extra liquidity risk, because of low stock returns in recessions. In that sense stocks are "bad collateral". The adjustment to the Breeden-Lucas stochastic discount factor raises the unconditional risk premium and induces time variation in conditional risk premia"--National Bureau of Economic Research web site. Ökonometrisches Modell Bankruptcy Econometric models Risk Econometric models Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11132 (DE-604)BV002801238 11132 http://papers.nber.org/papers/w11132.pdf kostenfrei Volltext |
| spellingShingle | Lustig, Hanno The market price of aggregate risk and the wealth distribution National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Ökonometrisches Modell Bankruptcy Econometric models Risk Econometric models |
| title | The market price of aggregate risk and the wealth distribution |
| title_auth | The market price of aggregate risk and the wealth distribution |
| title_exact_search | The market price of aggregate risk and the wealth distribution |
| title_full | The market price of aggregate risk and the wealth distribution Hanno Lustig |
| title_fullStr | The market price of aggregate risk and the wealth distribution Hanno Lustig |
| title_full_unstemmed | The market price of aggregate risk and the wealth distribution Hanno Lustig |
| title_short | The market price of aggregate risk and the wealth distribution |
| title_sort | the market price of aggregate risk and the wealth distribution |
| topic | Ökonometrisches Modell Bankruptcy Econometric models Risk Econometric models |
| topic_facet | Ökonometrisches Modell Bankruptcy Econometric models Risk Econometric models |
| url | http://papers.nber.org/papers/w11132.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT lustighanno themarketpriceofaggregateriskandthewealthdistribution |