THE RISK-FREE RATE IN HETEROGENEOUS-AGENT INCOMPLETE-INSURANCE ECONOMIES
THE RISK-FREE RATE IN HETEROGENEOUS-AGENT INCOMPLETE-INSURANCE ECONOMIES
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DOI：
10.1016/0165-1889(93)90024-m
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发表时间：
1993-09-01
影响因子：
1.9
通讯作者：
HUGGETT, M
中科院分区：
文献类型：
--
作者：
HUGGETT, M
为什么平均真实的无风险利率低于1 ‰？这个问题的动机是，一类校准的代表代理经济体未能解释平均股本回报率和无风险债务。我构建了一个经济体，其中代理人通过持有无风险资产来体验不可保险的特质捐赠冲击和平滑消费。我通过计算来校准经济和描述均衡。在一年收入的借贷约束下，由此产生的无风险利率比可比的代表代理经济体的利率低1%以上。
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.