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Veronika CZELLAR (EDHEC, France) “Limited participation in the joint behavior of asset prices and individual consumptions”
April 11, 2019, 11:30 am - 12:30 pm
FINANCIAL ECONOMETRICS SEMINAR
Date: 11th of April 2019
Place: Room 3001
Veronika CZELLAR (EDHEC, France) “Limited participation in the joint behavior of asset prices and individual consumptions.”
Abstract : We propose an asset pricing model featuring both limited participation and heterogeneity, in which agents randomly participate in the bond and stock markets according to a probability that depends on their non- nancial income. We develop an indirect inference method to estimate our model on individual US consumption (CEX) and financial data. Our estimated model performs very well at jointly replicating the equity premium and the unequal distribution of individual consumptions. As an external validity check, our model accurately predicts the estimated stock market participation cost and its decline over the period 1980-2004, as well as the observed financial market participation.
Joint work : René GARCIA and François LE GRAND
Jean-Michel ZAKOIAN (CREST )
CREST and ILB
Address : ENSAE ParisTech
5, avenue Henry Le Chatelier
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