Asset-Pricing Puzzles and Incomplete Markets
构建并求解了一个包含异质性代理人、非交易收入和不完全市场的禀赋经济模型，发现该模型能比代表性代理人模型更好地解释边际替代率波动，并可能解释无风险利率谜题。
An endowment economy with heterogeneous agents and incomplete asset markets is specified, parameterized and solved using a numerical solution algorithm. The model features two types of infinitely lived agents who are endowed with different sources for non-tradable income. Despite not being able to insure against endowment risk, individuals are able to partially diversify away idiosyncratic risk by trading in a limited set of competitive asset markets. Numerical results indicate that the model can account for substantially more of the variability in intertemporal marginal rates of substitution documented by Hensen and Jagannathan (1990) than can models based on a representative agent. In addition, the model can generate a mean risk-free rate of interest smaller than the rate of time preference and potentially account for the so called 'risk-free rate puzzle'.