Habit Formation in an Overlapping Generations Model with Borrowing Constraints
在Constantinides等(2002)的三期代际交叠借贷约束模型中引入习惯形成，通过区分中年和老年两阶段的不同习惯参数，分析其对储蓄和证券回报的影响，并生成与美国数据一致的股权溢价。
We introduce habit†formation in the three†period OLG borrowing†constrained framework of Constantinides et al. (2002) by allowing the utility of the middle†aged (old) to depend on consumption when young (middle†aged). This specification enables us to separate the effect of the two habit parameters (middle†aged and old) since each representative age†group can face different levels of habit persistence. The two†habit setup underlines some important issues with regards to savings and security returns which do not always conform to the standard findings in the literature. In addition, the model produces equity premium consistent with US data for relatively small levels of risk aversion.