Asset Pricing with Heterogeneous Consumers
证明，在存在不可保险、持久且异方差的劳动收入冲击的异质性经济中，代表性消费者模型遇到的实证困难可以得到解决，均衡由一组依赖于人均消费增长和消费增长截面方差的欧拉方程刻画。
Empirical difficulties encountered by representative-consumer models are resolved in an economy with heterogeneity in the form of uninsurable, persistent, and heteroscedastic labor income shocks. Given the joint process of arbitrage-free labor prices, dividends, and aggregate income satisfying a certain joint restriction, it is shown that this process is supported in the equilibrium of an economy with judiciously modeled income heterogeneity. The Euler equations of consumption in a representative-agent economy are replaced by a set of Euler equations that depend not only on the per capita consumption growth but also on the cross-sectional variance of the individual consumers' consumption growth. Copyright 1996 by University of Chicago Press.