When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?
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چکیده
منابع مشابه
When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?
In a standard incomplete markets model with a continuum of households that have constant relative risk aversion (CRRA) preferences, the absence of insurance markets for idiosyncratic labor income risk has no effect on the premium for aggregate risk if the distribution of idiosyncratic risk is independent of aggregate shocks and aggregate consumption growth is independent over time. In equilibri...
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We construct a model with a large number of agents who have constant relative risk aversion (CRRA) preferences and face potentially tight solvency constraints. We show that the absence of insurance markets for idiosyncratic labor income risk has no effect on the premium for aggregate risk if the distribution of idiosyncratic risk is independent of aggregate shocks. In the equilibrium, which fea...
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ژورنال
عنوان ژورنال: Journal of Economic Theory
سال: 2010
ISSN: 0022-0531
DOI: 10.1016/j.jet.2009.10.005