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• W3122829894 abstract "I study asset prices in a two-agent macroeconomic model with two key features: limited stock market participation and heterogeneity in the elasticity of intertemporal substitution in consumption (EIS). The model is consistent with some prominent features of asset prices, such as a high equity premium, relatively smooth interest rates, procyclical stock prices, and countercyclical variation in the equity premium, its volatility, and in the Sharpe ratio. In this model, the risk-free asset market plays a central role by allowing non-stockholders (with low EIS) to smooth the fluctuations in their labor income. This process concentrates non-stockholders' labor income risk among a small group of stockholders, who then demand a high premium for bearing the aggregate equity risk. Furthermore, this mechanism is consistent with the very small share of aggregate wealth held by non-stockholders in the U.S. data, which has proved problematic for previous models with limited participation. I show that this large wealth inequality is also important for the model's ability to generate a countercyclical equity premium. When it comes to business cycle performance, the model's progress has been more limited: consumption is still too volatile compared to the data, whereas investment is still too smooth. These are important areas for potential improvement in this framework." @default.
• W3122829894 created "2021-02-01" @default.
• W3122829894 creator A5020772057 @default.
• W3122829894 date "2009-01-01" @default.
• W3122829894 modified "2023-10-03" @default.
• W3122829894 title "A Parsimonious Macroeconomic Model for Asset Pricing" @default.
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• W3122829894 doi "https://doi.org/10.3982/ecta6658" @default.
• W3122829894 hasPublicationYear "2009" @default.
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