TY - UNPD
A1 - Krueger, Dirk
A1 - Lustig, Hanno
A1 - Perri, Fabrizio
T1 - Evaluating asset pricing models with limited commitment using household consumption data
T2 - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2006,22
N2 - We evaluate the asset pricing implications of a class of models in which risk sharing is imperfect because of the limited enforcement of intertemporal contracts. Lustig (2004) has shown that in such a model the asset pricing kernel can be written as a simple function of the aggregate consumption growth rate and the growth rate of consumption of the set of households that do not face binding enforcement constraints in that state of the world. These unconstrained households have lower consumption growth rates than constrained households, i.e. they are located in the lower tail of the crosssectional consumption growth distribution. We use household consumption data from the U.S. Consumer Expenditure Survey to estimate the pricing kernel implied by the model and to evaluate its performance in pricing aggregate risk. We employ the same data to construct aggregate consumption and to derive the standard complete markets pricing kernel. We find that the limited enforcement pricing kernel generates a market price of risk that is substantially larger than the standard complete markets asset pricing kernel. Klassifizierung: G12, D53, D52, E44
T3 - CFS working paper series - 2006, 22
KW - Limited Commitment
KW - Equity Premium
KW - Stochastic Discount Factor
KW - Household Consumption Data
KW - USA
KW - Privater Verbrauch
KW - Asset-Backed Security
Y1 - 2006
UR - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/2097
UR - https://nbn-resolving.org/urn:nbn:de:hebis:30-33285
IS - September 2006
ER -