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dc.contributor.authorKrueger, Dirken_US
dc.contributor.authorLustig, Hannoen_US
dc.contributor.authorPerri, Fabrizioen_US
dc.date.accessioned2006-10-11en_US
dc.date.accessioned2009-07-24T13:48:01Z-
dc.date.available2009-07-24T13:48:01Z-
dc.date.issued2006en_US
dc.identifier.piurn:nbn:de:hebis:30-33285-
dc.identifier.urihttp://hdl.handle.net/10419/25488-
dc.description.abstractWe evaluate the asset pricing implications of a class of models in which risk sharing is imperfect because of the limited enforcement of intertemporal contracts. Lustig (2004) has shown that in such a model the asset pricing kernel can be written as a simple function of the aggregate consumption growth rate and the growth rate of consumption of the set of households that do not face binding enforcement constraints in that state of the world. These unconstrained households have lower consumption growth rates than constrained households, i.e. they are located in the lower tail of the crosssectional consumption growth distribution. We use household consumption data from the U.S. Consumer Expenditure Survey to estimate the pricing kernel implied by the model and to evaluate its performance in pricing aggregate risk. We employ the same data to construct aggregate consumption and to derive the standard complete markets pricing kernel. We find that the limited enforcement pricing kernel generates a market price of risk that is substantially larger than the standard complete markets asset pricing kernel.en_US
dc.language.isoengen_US
dc.publisherCenter for Financial Studies Frankfurt, Mainen_US
dc.relation.ispartofseriesCFS Working Paper 2006/22en_US
dc.subject.jelG12en_US
dc.subject.jelD53en_US
dc.subject.jelD52en_US
dc.subject.jelE44en_US
dc.subject.ddc330en_US
dc.subject.keywordLimited Commitmenten_US
dc.subject.keywordEquity Premiumen_US
dc.subject.keywordStochastic Discount Factoren_US
dc.subject.keywordHousehold Consumption Dataen_US
dc.titleEvaluation asset pricing models with limited commitment using household consumption dataen_US
dc.typeWorking Paperen_US
dc.identifier.ppn518563197en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:cfswop:200622-
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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