Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data
利用美国家庭消费数据识别不受约束的家庭，估计有限承诺模型中的定价核，发现低风险厌恶下无法产生显著股权溢价，但高风险厌恶（>30）时市场风险价格大幅改善。
We evaluate the asset pricing implications of a class of models in which risk sharing is imperfect because of limited enforcement of intertemporal contracts. Lustig (2004) has shown that in such a model the asset pricing kernel can be written as a simple function of the aggregate consumption growth rate and the growth rate of consumption of the set of households that do not face binding enforcement constraints. These unconstrained households have lower consumption growth rates than all other households in the economy. We use household data on consumption growth from the U.S. Consumer Expenditure Survey to identify unconstrained households, to estimate the pricing kernel implied by these models, and to evaluate their performance in pricing aggregate risk. We find that with low risk aversion these models cannot generate a substantial equity premium. On the positive side for high values (over 30) of the relative risk aversion coefficient, the limited enforcement pricing kernel generates a market price of risk that is substantially closer.