REVIEW OF FINANCIAL STUDIES·DOI: https://doi.org/10.1093/rfs/hhx047·Published: 19May 2017

生产经济中的外在习惯：一个资产价格和消费波动风险的模型

作者：Andrew Y. Chen (Federal Reserve Board)

摘要：一个具有外部习惯和资本调整成本的标准实际商业周期模型是与一系列资产价格和商业周期时刻相匹配的：权益，企业价值和无风险利率波动；股权溢价；超额回报可预测性；消费增长可预测性；消费，产出和投资的基本时刻等等。该模型还会产生内生消费波动风险。预防性储蓄动机使消费对不利时期的冲击十分敏感，这将导致反周期波动，即使是同方差的技术冲击也是如此。习惯作为反周期杠杆，放大了这个渠道。习惯也意味着高风险厌恶，这放大了股价反应。

External Habit in a Production Economy: A Model of Asset Prices and Consumption Volatility Risk

Andrew Y. Chen (Federal Reserve Board)

ABSTRACT

A standard real business-cycle model with external habit and capital adjustment costs matches a long list of asset price and business-cycle moments: equity, firm value, and risk-free rate volatility; the equity premium; excess return predictability; consumption growth predictability; basic moments of consumption, output, and investment; among others. The model also generates endogenous consumption volatility risk. Precautionary savings motives make consumption sensitive to shocks in bad times, leading to countercyclical volatility, even with homoscedastic technology shocks. Habit acts as countercyclical leverage, which amplifies this channel. Habit also implies high risk aversion, which amplifies the stock price response.

原文链接：

https://academic.oup.com/rfs/article-abstract/doi/10.1093/rfs/hhx047/3835433/External-Habit-in-a-Production-Economy-A-Model-of?redirectedFrom=fulltext

翻译：何杉