Sharing idiosyncratic risk even though prices are "wrong"

被引：3

作者：

Halim, Edward ^{[1
]}

Riyanto, Yohanes E. ^{[1
]}

Roy, Nilanjan ^{[2
]}

机构：

[1] Nanyang Technol Univ, Sch Social Sci, Div Econ, SHHK 4-70 SHHK 05-56E,48 Nanyang Ave, Singapore 639818, Singapore

[2] City Univ Hong Kong, Coll Business, Dept Econ & Finance, Kowloon Tong, 83 Tat Chee Ave, Hong Kong, Peoples R China

来源：

JOURNAL OF ECONOMIC THEORY | 2022年 / 200卷

关键词：

Aggregate risk; Idiosyncratic risk; Asset price bubbles; General equilibrium theory; Consumption smoothing; Experiments; ASSET MARKETS; BUBBLES; CONSUMPTION; CRASHES; LUCAS; EXPECTATIONS; UNCERTAINTY; INSURANCE; RATIO;

D O I：

10.1016/j.jet.2021.105400

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We design an infinite-horizon dynamic asset market experiment with perishable consumption and a longlived asset where gains from trade originate from individuals experiencing idiosyncratic income shocks. Our study is based on the consumption-based general equilibrium theory (Lucas (1978)). The presence of traders having induced motive to smooth consumption is not sufficient to eliminate price bubbles. Despite the asset being consistently priced higher than the equilibrium price, traders are able to share idiosyncratic risk and attain higher welfare. The co-existence of traders with income shocks along with those having no induced motive to trade does not hinder in the former smoothing their consumption stream. Our results hold for markets with and without aggregate risk. (c) 2021 Elsevier Inc. All rights reserved.

引用

页数：45

共 56 条

[1] "Lucas" in the Laboratory [J].