Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/25488 
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dc.contributor.authorKrueger, Dirken
dc.contributor.authorLustig, Hannoen
dc.contributor.authorPerri, Fabrizioen
dc.date.accessioned2006-10-11-
dc.date.accessioned2009-07-24T13:48:01Z-
dc.date.available2009-07-24T13:48:01Z-
dc.date.issued2006-
dc.identifier.piurn:nbn:de:hebis:30-33285en
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
dc.language.isoengen
dc.publisher|aGoethe University Frankfurt, Center for Financial Studies (CFS) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCFS Working Paper |x2006/22en
dc.subject.jelG12en
dc.subject.jelD53en
dc.subject.jelD52en
dc.subject.jelE44en
dc.subject.ddc330en
dc.subject.keywordLimited Commitmenten
dc.subject.keywordEquity Premiumen
dc.subject.keywordStochastic Discount Factoren
dc.subject.keywordHousehold Consumption Dataen
dc.titleEvaluation asset pricing models with limited commitment using household consumption data-
dc.typeWorking Paperen
dc.identifier.ppn518563197en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfswop:200622en

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