Asset pricing with a financial sector
研究了面临杠杆约束的金融中介对资产定价的影响，模型能产生高且逆周期的股权溢价、低且平滑的无风险利率，以及顺周期且持久的价格股息比，并预测金融中介受约束时银行间与家庭贷款利率差会飙升。
Abstract In this paper, we study the quantitative asset pricing implications of a financial intermediary that faces a leverage constraint. We use a recursive method to construct the global solution that accounts for occasionally binding constraints. Quantitatively, our model generates a high and countercyclical equity premium, a low and smooth risk‐free interest rate, and a procyclical and persistent price–dividend ratio, despite an independently and identically distributed consumption growth process and a moderate risk aversion of 10. As a distinct prediction from our model, we find that when the intermediary is financially constrained, the interest rate spread between interbank and household loans spikes. This pattern is consistent with the empirical evidence that high TED spread coincides with low stock price and high stock market volatility.