Asset Pricing with Heterogeneous Consumers Export

@article{constantinides-duffie-96, abstract = {Empirical difficulties encountered by representative-consumer models are resolved in an economy with heterogeneity in the form of uninsurable, persistent, and heteroscedastic labor income shocks. Given the joint process of arbitrage-free asset prices, dividends, and aggregate income, satisfying a certain joint restriction, it is shown that this process is supported in the equilibrium of an economy with judiciously modeled income heterogeneity. The Euler equations of consumption in a representative-agent economy are replaced by a set of Euler equations that depend not only on the per capita consumption growth but also on the cross-sectional variance of the individual consumers' consumption growth.}, author = {Constantinides, George M. and Duffie, Darrell}, citeulike-article-id = {173047}, citeulike-linkout-0 = {http://dx.doi.org/10.2307/2138925}, citeulike-linkout-1 = {http://www.jstor.org/stable/2138925}, doi = {10.2307/2138925}, journal = {The Journal of Political Economy}, keywords = {aarineq, aarmacro, asset\_pricing}, number = {2}, pages = {219--240}, posted-at = {2005-04-27 23:29:37}, priority = {2}, title = {Asset Pricing with Heterogeneous Consumers}, url = {http://dx.doi.org/10.2307/2138925}, volume = {104}, year = {1996} }

TY - JOUR ID - constantinides-duffie-96 L3 - citeulike-article-id:173047 N2 - Empirical difficulties encountered by representative-consumer models are resolved in an economy with heterogeneity in the form of uninsurable, persistent, and heteroscedastic labor income shocks. Given the joint process of arbitrage-free asset prices, dividends, and aggregate income, satisfying a certain joint restriction, it is shown that this process is supported in the equilibrium of an economy with judiciously modeled income heterogeneity. The Euler equations of consumption in a representative-agent economy are replaced by a set of Euler equations that depend not only on the per capita consumption growth but also on the cross-sectional variance of the individual consumers' consumption growth. IS - 2 JF - The Journal of Political Economy EP - 240 TI - Asset Pricing with Heterogeneous Consumers VL - 104 SP - 219 KW - aarineq KW - aarmacro KW - asset_pricing AU - Constantinides, George AU - Duffie, Darrell PY - 1996/// UR - http://dx.doi.org/10.2307/2138925 ER -