Habit persistence and asset returns in an exchange economy

Michele Boldrin; Lawrence J. Christiano; Jonas D.M. Fisher

doi:10.1017/s1365100597003027

Habit persistence and asset returns in an exchange economy

Michele Boldrin, Lawrence J. Christiano, Jonas D.M. Fisher^*

^*Corresponding author for this work

Economics

Research output: Contribution to journal › Article › peer-review

36 Scopus citations

Abstract

We examine asset prices and returns in the context of a pure exchange economy. Our purpose is to identify the key channels by which changes in preferences affect the equity premium and the risk-free rate and to develop intuition that is useful for understanding asset pricing in more complicated economies. Our analysis suggests that capital gains play a crucial role in generating empirically plausible mean equity premia.

Original language	English (US)
Pages (from-to)	312-332
Number of pages	21
Journal	Macroeconomic Dynamics
Volume	1
Issue number	2
DOIs	https://doi.org/10.1017/s1365100597003027
State	Published - 1997

Keywords

Asset Pricing
Capital Gains
Habit Persistence
Risk Aversion

ASJC Scopus subject areas

Economics and Econometrics

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10.1017/s1365100597003027

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KW - Risk Aversion

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Habit persistence and asset returns in an exchange economy

Abstract

Keywords

ASJC Scopus subject areas

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