Asset Pricing, Habit Memory, and the Labor Market

This study ﬁnds that a model with internal habit memory allowsto simultaneously explain a series of business cycle and asset pricing puzzles. Compared to the literature, the equity premium puzzle can be resolved in a model with endogenous labor, without giving rise to excessive risk free rate variations. In addition, the mechanism under study allows to amplify the effects of technology shocks.

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Year of publication:	2007-09-01
Authors:	Jaccard, Ivan
Institutions:	Institut für Schweizerisches Bankwesen <Zürich>
Subject:	Volatilität \| Arbeitsmarkt \| Labour Market \| Bewertung \| Zins \| Technische Entwicklung

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Extent:	316416 bytes 35 p. application/pdf
Series:	Universität Zürich - Institut für schweizerisches Bankwesen Working paper ; 410 (2007)
Type of publication:	Book / Working Paper
Language:	English
Classification:	E10 - General Aggregative Models. General ; E20 - Consumption, Saving, Production, Employment, and Investment. General ; G12 - Asset Pricing ; Corporate finance and investment policy. Other aspects ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005858035