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Testing heterogeneous-agent models: an alternative aggregation approach

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  • Balduzzi, Pierluigi
  • Yao, Tong

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  • Balduzzi, Pierluigi & Yao, Tong, 2007. "Testing heterogeneous-agent models: an alternative aggregation approach," Journal of Monetary Economics, Elsevier, vol. 54(2), pages 369-412, March.
    • Handle: RePEc:eee:moneco:v:54:y:2007:i:2:p:369-412
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    3. Kjetil Storesletten & Chris Telmer & Amir Yaron, 2007. "Asset Pricing with Idiosyncratic Risk and Overlapping Generations," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 10(4), pages 519-548, October.
    4. 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.
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    10. Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," Journal of Political Economy, University of Chicago Press, vol. 110(4), pages 793-824, August.
    11. Hansen, Lars Peter & Jagannathan, Ravi, 1991. "Implications of Security Market Data for Models of Dynamic Economies," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 225-262, April.
    12. Balduzzi, Pierluigi & Kallal, Hedi, 1997. "Risk Premia and Variance Bounds," Journal of Finance, American Finance Association, vol. 52(5), pages 1913-1949, December.
    13. Orazio P. Attanasio & James Banks & Sarah Tanner, 2002. "Asset Holding and Consumption Volatility," Journal of Political Economy, University of Chicago Press, vol. 110(4), pages 771-792, August.
    14. Kris Jacobs & Kevin Q. Wang, 2004. "Idiosyncratic Consumption Risk and the Cross Section of Asset Returns," Journal of Finance, American Finance Association, vol. 59(5), pages 2211-2252, October.
    15. Heaton, John & Lucas, Deborah J, 1996. "Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing," Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 443-487, June.
    16. Daniel, Kent & Marshall, David, 1997. "Equity-Premium And Risk-Free-Rate Puzzles At Long Horizons," Macroeconomic Dynamics, Cambridge University Press, vol. 1(2), pages 452-484, June.
    17. Andrei Semenov, 2003. "High-Order Consumption Moments and Asset Pricing," Working Papers 2003_4, York University, Department of Economics, revised Jan 2005.
    18. Xavier Gabaix & David Laibson, 2002. "The 6D Bias and the Equity-Premium Puzzle," NBER Chapters, in: NBER Macroeconomics Annual 2001, Volume 16, pages 257-330, National Bureau of Economic Research, Inc.
    19. Hall, Peter & Horowitz, Joel L, 1996. "Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators," Econometrica, Econometric Society, vol. 64(4), pages 891-916, July.
    20. Lynch, Anthony W, 1996. "Decision Frequency and Synchronization across Agents: Implications for Aggregate Consumption and Equity Return," Journal of Finance, American Finance Association, vol. 51(4), pages 1479-1497, September.
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    Cited by:

    1. Kan, Raymond & Robotti, Cesare, 2008. "Specification tests of asset pricing models using excess returns," Journal of Empirical Finance, Elsevier, vol. 15(5), pages 816-838, December.
    2. Toda, Alexis Akira, 2017. "A Note On The Size Distribution Of Consumption: More Double Pareto Than Lognormal," Macroeconomic Dynamics, Cambridge University Press, vol. 21(6), pages 1508-1518, September.
    3. Narayana Kocherlakota & Luigi Pistaferri, 2009. "Asset Pricing Implications of Pareto Optimality with Private Information," Journal of Political Economy, University of Chicago Press, vol. 117(3), pages 555-590, June.
    4. Reyno Seymore & Margaret Mabugu & Jan van Heerden, 2010. "Border Tax Adjustments to Negate the Economic Impact of an Electricity Generation Tax," Working Papers 201003, University of Pretoria, Department of Economics.
    5. Jacobs, Kris & Pallage, Stéphane & Robe, Michel A., 2013. "Market incompleteness and the equity premium puzzle: Evidence from state-level data," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 378-388.
    6. Andrei Semenov, 2003. "High-Order Consumption Moments and Asset Pricing," Working Papers 2003_4, York University, Department of Economics, revised Jan 2005.
    7. Wilson, Matthew S., 2020. "Disaggregation and the equity premium puzzle," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 1-18.
    8. Goswami, Gautam & Tan, Sinan & Waisman, Maya, 2014. "Understanding the cross-section of the U.S. housing bubble: The roles of lending, transaction costs, and rent growth," Journal of Financial Stability, Elsevier, vol. 15(C), pages 76-90.
    9. Narayana Kocherlakota & Luigi Pistaferri, 2008. "Household Heterogeneity and Asset Trade: Resolving the Equity Premium Puzzle in Three Countries," Levine's Bibliography 122247000000001886, UCLA Department of Economics.
    10. Andrei Semenov, 2017. "Background risk in consumption and the equity risk premium," Review of Quantitative Finance and Accounting, Springer, vol. 48(2), pages 407-439, February.
    11. Balduzzi, Pierluigi & Robotti, Cesare, 2008. "Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-Beta Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 354-368.
    12. Johnson, Timothy C., 2012. "Inequality risk premia," Journal of Monetary Economics, Elsevier, vol. 59(6), pages 565-580.
    13. Ludvigson, Sydney C., 2013. "Advances in Consumption-Based Asset Pricing: Empirical Tests," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 799-906, Elsevier.
    14. Hunter, John & Wu, Feng, 2014. "Multifactor consumption based asset pricing models using the US stock market as a reference: Evidence from a panel of developed economies," Economic Modelling, Elsevier, vol. 36(C), pages 557-565.
    15. Basu, Parantap & Semenov, Andrei & Wada, Kenji, 2011. "Uninsurable risk and financial market puzzles," Journal of International Money and Finance, Elsevier, vol. 30(6), pages 1055-1089, October.
    16. Elkamhi, Redouane & Jo, Chanik, 2023. "Asset holders’ consumption risk and tests of conditional CCAPM," Journal of Financial Economics, Elsevier, vol. 148(3), pages 220-244.
    17. Massimo Guidolin & Martin Lozano & Juan Arismendi Zambrano, "undated". "Multifactor Empirical Asset Pricing Under Higher-Order Moment Variations," Economics Department Working Paper Series n304-20.pdf, Department of Economics, National University of Ireland - Maynooth.
    18. Alexis Akira Toda & Kieran Walsh, 2015. "The Double Power Law in Consumption and Implications for Testing Euler Equations," Journal of Political Economy, University of Chicago Press, vol. 123(5), pages 1177-1200.
    19. Galicia-Sanguino, Lucía & Rojo-Suárez, Javier & Alonso-Conde, Ana B. & López-Pérez, M. Victoria, 2021. "Trade integration and research and development investment as a proxy for idiosyncratic risk in the cross-section of stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    20. Kazufumi Yamana, 2016. "Structural Household Finance," Discussion papers ron279, Policy Research Institute, Ministry of Finance Japan.

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