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首页> 外文期刊>Journal of Economic Dynamics and Control >Asset returns in an endogenous growth model with incomplete markets
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Asset returns in an endogenous growth model with incomplete markets

机译：市场不完整的内生增长模型中的资产收益

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摘要

This paper analyzes a class of stochastic endogenous growth models with uninsurable idiosyncratic income risk. The model economy is populated by infinitely-lived households who own and operate their own business, work for a stock company, and participate in stock and bond markets. Households have log-utility preferences and production functions exhibit constant returns to scale with respect to produced input factors (physical and human capital). If the idiosyncratic component of productivity and depreciation shocks is unpredictable, then there exists an equilibrium that can be found by solving a one-agent decision problem. The paper also analyzes the asset return implications of a calibrated model economy with an individual income process that displays realistic variations in idiosyncratic income risk. The calibrated model economy generates an equity premium of 1% if the volatility of implied stock returns matches the volatility of observed U.S. stock returns.
机译：本文分析了一类具有无法保证的特质收入风险的随机内生增长模型。模范经济由无限生存的家庭组成，他们拥有和经营自己的企业，为股票公司工作，并参与股票和债券市场。家庭具有对数效用的偏好，生产功能相对于生产的输入要素（物质和人力资本）表现出规模不变的回报。如果生产力和折旧冲击的特质成分是不可预测的，那么就存在一个可以通过解决一个代理决策问题来找到的平衡点。本文还分析了具有个体收入过程的校准模型经济对资产收益的影响，该过程显示出特殊收入风险的现实变化。如果隐含股票收益率的波动率与观察到的美国股票收益率的波动率匹配，则经过校准的模型经济体会产生1％的股本溢价。

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