On the Micro-Level Irrelevance of Habit Formation in Complete Markets

• 발행기관: 한국계량경제학회
• 저자명: Dong Chul Won
• 간행물 정보: 『JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS』Vol.30 No.2, 1~19쪽, 전체 19쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2019.06.30

영문 초록

This paper characterizes conditions for external habit formation to render habit-driven equilibrium outcomes observationally equivalent to habitfree equilibrium outcomes in multi-agent complete markets. The uniformity of the ratios of habit levels to aggregate consumptions across consumption goods leads to the irrelevance of habit formation to excess demand and asset prices. Thus, external habit formation may have no tangible effect on excess demand and the equity premium if the cross-sectional habitual variations are not substantial. The micro-level analysis of habit formation produces useful information about the habitual effect on the individual welfare and the existence of competitive equilibrium which cannot be addressed in a representative agent framework.

목차

1. INTRODUCTION

2. THE MODEL

3. THE CLOSED-FORM EQUILIBRIUM OUTCOMES

4. THE IRRELEVANCE OF EXTERNAL HABIT FORMATION

5. HABIT FORMATION IN MULTI-PERIOD MARKETS

6. COMPARISON WITH MACRO-LEVEL IRRELEVANCE

키워드

External habit observational irrelevance competitive equilibrium complete markets relative risk aversion