کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
985548 1480826 2010 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Rational inattention, long-run consumption risk, and portfolio choice
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Rational inattention, long-run consumption risk, and portfolio choice
چکیده انگلیسی

This paper explores how the introduction of rational inattention (RI) – that agents process information subject to finite channel capacity – affects optimal consumption and investment decisions in an otherwise standard intertemporal model of portfolio choice. We first explicitly derive optimal consumption and portfolio rules under RI and then show that introducing RI reduces the optimal share of savings invested in the risky asset because inattentive investors face greater long-run consumption risk. We also show that the investment horizon matters for portfolio allocation in the presence of RI, even if investment opportunities are constant and the utility function of investors is constant relative risk aversion. Second, after aggregating across investors, we show that introducing RI can better explain the observed joint dynamics of aggregate consumption and the equity return. Finally, we show that RI increases the implied equity premium because investors under RI face greater long-run consumption risk and thus require higher compensation in equilibrium.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Review of Economic Dynamics - Volume 13, Issue 4, October 2010, Pages 843–860
نویسندگان
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