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Testable implications of consumption-based asset pricing models with incomplete markets

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  • Krebs, Tom

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Mathematical Economics.

Volume (Year): 40 (2004)
Issue (Month): 1-2 (February)
Pages: 191-206

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Handle: RePEc:eee:mateco:v:40:y:2004:i:1-2:p:191-206

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Web page: http://www.elsevier.com/locate/jmateco

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References

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  1. Constantinides, George M & Duffie, Darrell, 1996. "Asset Pricing with Heterogeneous Consumers," Journal of Political Economy, University of Chicago Press, vol. 104(2), pages 219-40, April.
  2. Donald J. Brown & Rosa L. Matzkin, 1995. "Testable Restrictions on the Equilibrium Manifold," Cowles Foundation Discussion Papers 1109, Cowles Foundation for Research in Economics, Yale University.
  3. George M. Constantinides, 2002. "Rational Asset Prices," Journal of Finance, American Finance Association, vol. 57(4), pages 1567-1591, 08.
  4. John Heaton & Deborah Lucas, 1993. "Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing," NBER Working Papers 4249, National Bureau of Economic Research, Inc.
  5. Manuel S. Santos & Michael Woodford, 1997. "Rational Asset Pricing Bubbles," Econometrica, Econometric Society, vol. 65(1), pages 19-58, January.
  6. Chiappori, P.A. & Guesnerie, R., 1990. "Sunspot Equilibria in Sequential Markets Models," DELTA Working Papers 90-05, DELTA (Ecole normale supérieure).
  7. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
  8. Cogley, Timothy, 2002. "Idiosyncratic risk and the equity premium: evidence from the consumer expenditure survey," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 309-334, March.
  9. P.A. Chiappori & I. Ekeland & F. Kubler & H.M. Polemarchakis, 2002. "Testable Implications of General Equilibrium Theory: a differentiable approach," Working Papers 2002-10, Brown University, Department of Economics.
  10. David K. Levine & William Zame, 2001. "Does Market Incompleteness Matter," Levine's Working Paper Archive 78, David K. Levine.
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Cited by:
  1. Tom Krebs, 2006. "Multi-Dimensional Risk and the Cost of Business Cycles," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 9(4), pages 640-658, October.
  2. Krebs, tom & Krishna, Pravin & Maloney, William, 2005. "Trade policy, income risk, and welfare," Policy Research Working Paper Series 3622, The World Bank.
  3. Mine Zeynep Senses & Pravin Krishna, 2009. "International Trade and Labor Income Risk in the United States," 2009 Meeting Papers 471, Society for Economic Dynamics.
  4. Pablo F. Beker & Subir Chattopadhyay, 2005. "Economic Survival when Markets are Incomplete," Levine's Working Paper Archive 784828000000000422, David K. Levine.
  5. Beker, Pablo & Subir Chattopadhyay, 2009. "Consumption Dynamics in General Equilibrium : A Characterisation when Markets are Incomplete," The Warwick Economics Research Paper Series (TWERPS) 921, University of Warwick, Department of Economics.
  6. Andrés Carvajal, 2003. "Testable Restrictions On The Equilibrium Manifold Under Random Preferences," BORRADORES DE ECONOMIA 001899, BANCO DE LA REPÚBLICA.
  7. Tom Krebs, 2002. "Asset Returns in an Endogenous Growth Model with Incomplete Markets," Working Papers 2002-18, Brown University, Department of Economics.
  8. Carvajal, Andres & Ray, Indrajit & Snyder, Susan, 2004. "Equilibrium behavior in markets and games: testable restrictions and identification," Journal of Mathematical Economics, Elsevier, vol. 40(1-2), pages 1-40, February.
  9. Tom Krebs, 2007. "Job Displacement Risk and the Cost of Business Cycles," American Economic Review, American Economic Association, vol. 97(3), pages 664-686, June.
  10. Tom Krebs, 2004. "Welfare Cost of Business Cycles When Markets Are Incomplete," Working Papers 2004-08, Brown University, Department of Economics.
  11. Geoffrey J. Warren, 2008. "Implications for Asset Pricing Puzzles of a Roll-over Assumption for the Risk-Free Asset-super-," International Review of Finance, International Review of Finance Ltd., vol. 8(3-4), pages 125-157.

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