Advanced Search
MyIDEAS: Login to save this paper or follow this series

Asset Pricing Puzzles and Incomplete Markets

Contents:

Author Info

  • Chris I. Telmer

Abstract

An endowment economy with heterogeneous agents and incomplete asset markets is specified, parameterized and solved using a numerical solution algorithm. The model features two types of infinitely lived agents who are endowed with different sources for non-tradable income. Despite not being able to insure against endowment risk, individuals are able to partially diversify away idiosyncratic risk by trading in a limited set of competitive asset markets. Numerical results indicate that the model can account for substantially more of the variability in intertemporal marginal rates of substitution documented by Hensen and Jagannathan (1990) than can models based on a representative agent. In addition, the model can generate a mean risk-free rate of interest smaller than the rate of time preference and potentially account for the so called 'risk-free rate puzzle'.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_806.pdf
File Function: First version 1991
Download Restriction: no

Bibliographic Info

Paper provided by Queen's University, Department of Economics in its series Working Papers with number 806.

as in new window
Length: 50 pages
Date of creation: Feb 1991
Date of revision:
Handle: RePEc:qed:wpaper:806

Contact details of provider:
Postal: Kingston, Ontario, K7L 3N6
Phone: (613) 533-2250
Fax: (613) 533-6668
Email:
Web page: http://qed.econ.queensu.ca/
More information through EDIRC

Related research

Keywords: incomplete markets; marginal rate of substitution; risk free rates;

Other versions of this item:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.

Lists

This item is featured on the following reading lists or Wikipedia pages:
  1. Canadian Macro Study Group

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:qed:wpaper:806. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Mark Babcock).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.