The risk-free rate in heterogeneous-agent incomplete-insurance economies Export

@article{citeulike:173061, abstract = {Why has the average real risk-free interest rate been less than one percent? The question is motivated by the failure of a class of calibrated representative-agent economies to explain the average return to equity and risk-free debt. I construct an economy where agents experience uninsurable idiosyncratic endowment shocks and smooth consumption by holding a risk-free asset. I calibrate the economy and characterize equilibria computationally. With a borrowing constraint of one year's income, the resulting risk-free rate is more than one percent below the rate in the comparable representative-agent economy.}, author = {Huggett, M.}, citeulike-article-id = {173061}, citeulike-linkout-0 = {http://dx.doi.org/10.1016/0165-1889(93)90024-M}, citeulike-linkout-1 = {http://linkinghub.elsevier.com/retrieve/pii/0165-1889(93)90024-M}, citeulike-linkout-2 = {http://www.sciencedirect.com/science/article/B6V85-45JK57J-26/2/94110b797e0128abd81a91ffa3de744c}, doi = {10.1016/0165-1889(93)90024-M}, issn = {01651889}, journal = {Journal of Economic Dynamics and Control}, keywords = {411-2, aarineq, liquidity}, month = {November}, number = {5-6}, pages = {953--969}, posted-at = {2005-04-27 23:46:49}, priority = {2}, title = {The risk-free rate in heterogeneous-agent incomplete-insurance economies}, url = {http://dx.doi.org/10.1016/0165-1889(93)90024-M}, volume = {17}, year = {1993} }

TY - JOUR ID - citeulike:173061 L3 - citeulike-article-id:173061 N2 - Why has the average real risk-free interest rate been less than one percent? The question is motivated by the failure of a class of calibrated representative-agent economies to explain the average return to equity and risk-free debt. I construct an economy where agents experience uninsurable idiosyncratic endowment shocks and smooth consumption by holding a risk-free asset. I calibrate the economy and characterize equilibria computationally. With a borrowing constraint of one year's income, the resulting risk-free rate is more than one percent below the rate in the comparable representative-agent economy. IS - 5-6 JF - Journal of Economic Dynamics and Control SN - 01651889 EP - 969 TI - The risk-free rate in heterogeneous-agent incomplete-insurance economies VL - 17 SP - 953 KW - 411-2 KW - aarineq KW - liquidity AU - Huggett, M PY - 1993/11// UR - http://dx.doi.org/10.1016/0165-1889(93)90024-M ER -