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Tom Krebs Wilson, Bonnie Erin 2015-09-25T22:47:49Z 2015-09-25T22:47:49Z 10000-01-01 1999 1999 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. Made available in DSpace on 2015-09-25T22:47:49Z (GMT). No. of bitstreams: 2 license.txt: 4848 bytes, checksum: 96035ab3f5e1c23cc7138a224ce498bd (MD5) 9945030.pdf: 2815615 bytes, checksum: a2d2ea06da6abc3e66d6f8305a85fab8 (MD5) Previous issue date: 1999 Embargo set by: Seth Robbins for item 86939 Lift date: Forever Reason: Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs U of I Only 80 p. Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 1999. http://hdl.handle.net/2142/85658 (MiAaPQ)AAI9945030 eng Economics, Finance Risk Sharing and Asset Returns in Stochastic Endogenous Growth Models text Economics Economics University of Illinois at Urbana-Champaign Dissertation Ph.D.