The risk-free rate in heterogeneous-agent incomplete-insurance economies
نویسنده
چکیده
Why has the average real risk-free interest rate been less than one percent? The question is motivated by the failure of a class ofcalibrated 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 representativeagent economy.
منابع مشابه
On Stationary Recursive Equilibria and Non-degenerate State Spaces: the Huggett Model
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