Using Asset Prices to Measure the Cost of Business Cycles
提出一种无需设定偏好、仅用资产价格衡量消费波动成本的方法，发现消除所有消费不确定性的收益很大，但仅消除经济周期频率的消费波动，其边际成本仅为终生消费的0.08%至0.49%。
We measure the cost of consumption fluctuations using an approach that does not require the specification of preferences and instead uses asset prices. We measure the marginal cost of consumption fluctuations, the per unit benefit of a marginal reduction in consumption fluctuations expressed as a percentage of lifetime consumption. We find that the gains from eliminating all consumption uncertainty are very large. However, for consumption fluctuations corresponding to business cycle frequencies, we estimate the marginal cost to be between 0.08 % and 0.49 % of lifetime consumption. ∗We are grateful for the comments received from seminar participants at the Penn Macro Lunch at Wharton,