We apply the Consumption-based Asset Pricing Model (CCAPM) of the finance literature to study the risk and return of household business assets in developing economies. Using monthly panel data from a household survey in rural Thailand, we find that higher exposure to aggregate, non-diversifiable risk, as measured by household beta or the co-movement of the return of the individual household ent...

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During World War I there was much lamentation over the "defects of the draft," and the word "shocking" was in frequent use with reference to the condition of a large proportion of men of military age. When, more recently, it became necessary again for society to interpose a shield of human lives between itself and disaster, its cerebral cells once more became agitated over the report that its y...

As emphasized by Giovannini and Labadie (1991), empirical regularities involving nominal interest rates, asset prices, and inflation should be ultimately determined by money. The role of money, however, is almost neglected, particularly in terms of asset-pricing literature. This paper attempts to investigate the role of money in asset pricing in Japan. Specifically, it compares the empirical pe...

This paper studies consumption and savings dynamics, asset returns, and welfare losses in three macroeconomic models with information processing constraints which is also called “rational inattention” (henceforth, RI) in Sims (2003). The first model is a standard Linear Quadratic Gaussian (henceforth, LQG) permanent income (henceforth, PIH) model. We show that incorporating RI can better explai...

Under the assumptions of the Consumption-based Capital Asset Pricing Model (CCAPM), Pareto optimal consumption allocations are characterized by each agent’s consumption process being adapted to the filtration generated by the aggregate consumption process of the economy. The wealth processes of the agents, however, are adapted to the finer filtration generated by aggregate consumption and the c...

We consider the inequality $f \geqslant f\star f$ for real integrable functions on $d$ dimensional Euclidean space where $f\star denotes convolution of $f$ with itself. show that all such are non-negative, which is not case same in $L^p$ any $1 < p \leqslant 2$, defined. also solutions satisfy $\int f(x){\rm d}x \tfrac12$. Moreover, if = \tfrac12$, then must decay fairly slowly: |x| \infty$, an...