Risk Premiums, Nominal Rigidities, and Limited Asset Market Participation
研究发现，当考虑名义价格刚性时，技术冲击和所有权集中带来的利润收入再分配可以解释风险溢价，无需分配性冲击，这对理解商业周期和金融变量有重要意义。
Abstract Recent developments in the asset pricing literature show that a combination of technology and distributive shocks can rationalize observed risk premia when firm ownership is concentrated in the hands of few households. We find that distributive shocks are unnecessary when nominal price rigidity is taken into account. Our results are driven by the income redistribution associated to procyclical variations in profit margins when firms ownership is concentrated, prices are sticky, and technology shocks hit the economy. In this regard, standard DSGE models that allow for firm ownership concentration have the potential to replicate both business cycle facts and the moments of financial variables.