{"id":{"repo_id":"uiuc","oai_identifier":"oai:www.ideals.illinois.edu:2142/85658"},"canonical_url":"https://search.dev.ndltd.org/etd/uiuc/oai:www.ideals.illinois.edu:2142/85658","repository":{"repo_id":"uiuc","name":"University of Illinois - Urbana-Champaign","base_url":"https://www.ideals.illinois.edu/oai-pmh"},"display":{"title":"Risk Sharing and Asset Returns in Stochastic Endogenous Growth Models","abstract":"In chapter three, the asset return and business cycle implications of a stochastic endogenous growth model with heterogeneous agents and incomplete markets are analyzed. The asset market structure of the economy is incomplete in the sense that households in the model economy can trade shares in a stock company and a risk free bond in financial markets, but cannot (directly) insure against idiosyncratic production (income) risk. A simple characterization of the unique (constrained efficient) equilibrium is provided. The calibrated model economy is as successful as the standard real business cycle model in replicating the comovements of aggregate output, consumption, and investment, but strictly outperforms it along the asset return dimension. More specifically, the model generates a significant equity premium if idiosyncratic production (income) risk is large during times of economic contraction and stock market decline.","abstract_html":"In chapter three, the asset return and business cycle implications of a stochastic endogenous growth model with heterogeneous agents and incomplete markets are analyzed. The asset market structure of the economy is incomplete in the sense that households in the model economy can trade shares in a stock company and a risk free bond in financial markets, but cannot (directly) insure against idiosyncratic production (income) risk. A simple characterization of the unique (constrained efficient) equilibrium is provided. The calibrated model economy is as successful as the standard real business cycle model in replicating the comovements of aggregate output, consumption, and investment, but strictly outperforms it along the asset return dimension. More specifically, the model generates a significant equity premium if idiosyncratic production (income) risk is large during times of economic contraction and stock market decline.","abstract_has_math":false,"creators":["Wilson, Bonnie Erin"],"institution":"University of Illinois at Urbana-Champaign","degree_name":"Ph.D.","degree_level":"Dissertation","degree_discipline":"Economics","degree_department":null,"school":null,"contributors":["Tom Krebs"],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2015,"date_issued":"2015-09-25T22:47:49Z","date_published":"2015-09-25T22:47:49Z","updated_at":"2026-07-22T22:26:25Z","subjects":["Economics, Finance"],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[{"key":"dc:identifier","label":"Identifier","values":["(MiAaPQ)AAI9945030"],"render_values":[{"text":"(MiAaPQ)AAI9945030","href":null,"code":true}]}]},"links":{"outbound_url":"http://hdl.handle.net/2142/85658","outbound_label":"Handle","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor","label":"Contributor","values":["Tom Krebs"]},{"key":"dc:creator","label":"Author","values":["Wilson, Bonnie Erin"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2015-09-25T22:47:49Z","10000-01-01","1999"]},{"key":"dc:type","label":"Dc Type","values":["text"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Economics"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Dissertation"]},{"key":"thesis:degree_name","label":"Degree Name","values":["Ph.D."]},{"key":"thesis:institution_name","label":"Thesis Institution Name","values":["University of Illinois at Urbana-Champaign"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Economics, Finance"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language","label":"Dc Language","values":["eng"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["http://hdl.handle.net/2142/85658","(MiAaPQ)AAI9945030"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["In chapter three, the asset return and business cycle implications of a stochastic endogenous growth model with heterogeneous agents and incomplete markets are analyzed. 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The asset market structure of the economy is incomplete in the sense that households in the model economy can trade shares in a stock company and a risk free bond in financial markets, but cannot (directly) insure against idiosyncratic production (income) risk. A simple characterization of the unique (constrained efficient) equilibrium is provided. The calibrated model economy is as successful as the standard real business cycle model in replicating the comovements of aggregate output, consumption, and investment, but strictly outperforms it along the asset return dimension. More specifically, the model generates a significant equity premium if idiosyncratic production (income) risk is large during times of economic contraction and stock market decline.","Made available in DSpace on 2015-09-25T22:47:49Z (GMT). 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