Asset pricing, habit memory, and the labor market

This article studies the asset pricing and the business cycle implications of habit formation in a production economy with capital adjustment costs and endogenous labor supply. A specification of internal habit in the mix of consumption and leisure which minimizes the wealth effect on labor supply is introduced into an otherwise standard real business cycle model. This mechanism enhances the model’s ability to explain asset pricing puzzles.

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Year of publication:	2010
Authors:	Jaccard, Ivan
Publisher:	Frankfurt a. M. : European Central Bank (ECB)
Subject:	Equity-Premium-Puzzle \| Arbeitsmarkt \| CAPM \| Theorie \| adjustment costs \| equity premium puzzle \| Labor supply

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Series:	ECB Working Paper ; 1163
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	627564887 [GVK] hdl:10419/153597 [Handle] RePEc:ecb:ecbwps:20101163 [RePEc]
Classification:	G12 - Asset Pricing ; E32 - Business Fluctuations; Cycles ; J22 - Time Allocation and Labor Supply
Source:	EconStor

Persistent link: https://www.econbiz.de/10011605209