Affine General Equilibrium Models
在Epstein-Zin偏好下构建了一个基于消费的均衡CAPM框架，假设宏观增长率服从仿射过程，推导出股票和债券的解析定价公式，并引入通胀和非高斯冲击，内生地解释了股市崩盘和股权溢价现象。
No-arbitrage models are extremely flexible modelling tools but often lack economic motivation. This paper describes an equilibrium consumption-based CAPM framework based on Epstein-Zin preferences, which produces analytic pricing formulas for stocks and bonds under the assumption that macro growth rates follow affine processes. This allows the construction of equilibrium pricing formulas while maintaining the same flexibility of state dynamics as in no-arbitrage models. In demonstrating the approach, the paper presents a model that incorporates inflation such that asset prices are nominal. The model takes advantage of the possibility of non-Gaussian shocks and model macroeconomic uncertainty as a jump-diffusion process. This leads to endogenous stock market crashes as stock prices drop to reflect a higher expected rate of return in response to sudden increases in risk. The nominal yield curve in this model has a positive slope if expected inflation growth negatively impacts real growth. This model also produces asset prices that are consistent with observed data, including a substantial equity premium at moderate levels of risk aversion.