【摘要】 在卢卡斯提出的资产定价模型中,消费增长率是独立同分布的和投资者效用函数是可分的。卢卡斯模型无法解释著名的股票溢价之谜和无风险利率之谜,对卢卡斯模型做的两个修改是:消费增长率服从一阶高斯自回归随机过程和投资者偏好是具有习惯形成的效用函数,修改后的模型,一是存在资产定价的显示解;二是可以解释股票溢价之谜和无风险利率之谜。更多还原

【Abstract】 In the model proposed by Lucas,the consumption growth is i.i.d.and the investor’s utility function is separable.The Lucas model cannot explain the famous equity premium puzzle and the riskfree interest rate puzzle.This paper modifies the Lucas model: the consumption growth is a first-order Gaussian autoregression and the utility function displays habit formation.The implications of the new model are that it has the explicit solution,and it can explain the two puzzles.更多还原