Endogenous habits and equilibrium asset prices
| Autor: | Frank Thomas Seifried, André Meyer-Wehmann, Holger Kraft |
|---|---|
| Rok vydání: | 2022 |
| Předmět: |
Consumption (economics)
History Organizational Behavior and Human Resource Management Economics and Econometrics genetic structures Polymers and Plastics Sequential game General equilibrium theory media_common.quotation_subject Equity (finance) Industrial and Manufacturing Engineering Interest rate Microeconomics Economics Capital asset pricing model Habit Asset (economics) Business and International Management media_common |
| Zdroj: | Journal of Economic Behavior & Organization. 197:279-300 |
| ISSN: | 0167-2681 |
| DOI: | 10.1016/j.jebo.2022.03.005 |
| Popis: | We study a two-agent equilibrium model with two goods where we interpret the agents as countries. We analyze the effect of an endogenous habit specification where each country benchmarks its consumption decision against the decision of the other country. We show that endogenous habits can generate high equity premia and low interest rates. Our framework allows to study setups where agents cooperate or do not cooperate. The optimality conditions of the non-cooperative setting are similar to models that consider agents with exogenous habit levels. Although the size of the equity premia and the risk-free rate are of the same order of magnitude in both settings, the consumption allocations are more even in the cooperative situation. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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