This paper assesses the impact of variable investment-linked deferred annuities (VILDAs) on lifecycle consumption, saving, and portfolio allocation patterns given stochastic and systematic mortality. Insurers have taken two approaches to manage systematic mortality risks, namely self-insurance...

We econometrically estimate and test a consumption-based asset pricing model with stochastic internal habit. The model departs from existing deterministic internal habit models by introducing shocks to the coefficients in the distributed lag specification of consumption habit and consequently an...

I present a generalized model that structurally nests both "catching up with the Joneses" (external habit) and "time nonseparable" (internal habit) preference specifications. The model's asset pricing implications are confronted with the observed aggregate US consumption and asset returns data...

Abstract This paper derives approximate analytical solutions for various financial assets in the production economy with monetary shocks. Both technology and monetary shocks drive the dynamics of various financial assets. Special cases of permanent and transitory shocks are considered. The...

In this article we use a novel clustering approach to study the role of heterogeneity in asset pricing. We present evidence that the equity premium is consistent with a stochastic discount factor (SDF) calculated as the average of the household clusters’ intertemporal marginal rates of...

In this article we use a novel clustering approach to study the role of heterogeneity in asset pricing. We present evidence that the equity premium is consistent with a stochastic discount factor (SDF) calculated as the average of the household clusters’ intertemporal marginal rates of...