Asset Pricing with idiosyncratic income risk

金融危机的动荡引发了这样一个问题：现代金融市场的价格过程是否独立于实体经济过程而演变，而是源于非理性繁荣？这个问题强调了将金融价格过程与实体经济联系起来的理论和实证工作的重要性。我们把我们的研究计划放在这个背景下。特别是，我们打算研究特殊收入风险在资产定价中的作用。我们并不是第一个解决这个问题的人，但现有的研究存在实质性的弱点：在以前的实证工作中使用的消费微观数据众所周知容易出现测量误差，关于个人收入过程的假设与个人收入数据中观察到的经验事实不符，并且忽略了罕见但灾难性的收入变化的影响。在Constantinides和Duffie（1996）的基础模型中，只有收入变化的横截面方差具有资产定价含义。我们通过制定一致的特殊收入风险衡量标准，并通过推广收入过程来应对这些弱点，以允许罕见但严重的特殊冲击。我们的实证分析将基于不容易产生测量误差的数据。

The turmoil of the financial crisis provokes the question whether price processes in modern financial markets evolve independently of real economic processes and rather arise from irrational exuberance. This question emphasizes the importance of theoretical and empirical work that links financial price processes to the real economy. We place our research proposal in this context. In particular, we intend to investigate the role of idiosyncratic income risk in asset pricing. We are not the first to address this issue, but extant studies suffer from substantial weaknesses: The micro-data on consumption used in previous empirical work are notoriously prone to measurement errors, the assumptions about the individual income processes do not match empirical facts observed in individual income data, and the impact of rare but disastrous income changes is neglected. In Constantinides and Duffie's (1996) base model it is only the cross-sectional variance of income changes which has asset pricing implications. We deal with these weaknesses by developing a coherent measure of idiosyncratic income risk, and by generalizing the income process to allow for rare but severe idiosyncratic shocks. Our empirical analyses will be based on data which are less prone to measurement errors.