External Habit in a Production Economy: A Model of Asset Prices and Consumption Volatility Risk
在标准真实商业周期模型中引入外部习惯和资本调整成本，成功匹配了股权溢价、资产价格波动、超额收益可预测性等众多资产价格和商业周期特征，并内生生成消费波动风险。
A standard real business-cycle model with external habit and capital adjustment costs matches a long list of asset price and business-cycle moments: equity, firm value, and risk-free rate volatility; the equity premium; excess return predictability; consumption growth predictability; basic moments of consumption, output, and investment; among others. The model also generates endogenous consumption volatility risk. Precautionary savings motives make consumption sensitive to shocks in bad times, leading to countercyclical volatility, even with homoscedastic technology shocks. Habit acts as countercyclical leverage, which amplifies this channel. Habit also implies high risk aversion, which amplifies the stock price response.Received April 21, 2016; editorial decision February 3, 2017 by Editor Stijn Van Nieuwerburgh.