Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 15, 2022 erstellt
Description:
We study a pure exchange economy with two groups of agents who exhibit different consumption patterns: one changes consumption immediately in response to shocks, but the other delays the response. We investigate the linkages among the consumption heterogeneity, business cycles, and asset returns by characterizing their equilibrium dynamics. The model generates counter-cyclical and high effective risk aversion of the economy driven by the dynamics of the wealth distribution. The mechanism also can explain the return predictability of the consumption-wealth ratio and the counter-cyclical variations in the Sharpe ratio, the risk premium, and the stock volatility