Universidade Federal do Ceará
Programa de Pós-Graduação em Economia

O texto “The role of household debt and delinquency decisions in consumption-based asset pricing” de autoria do professor Paulo Matos (CAEN/UFC) encontra-se a disposição da comunidade acadêmica no link.

Abstract:
I contribute to asset pricing theory by incorporating household debt and delinquency decisions into a standard quantitative model of lifecycle consumption-saving-investment. Deriving this extended system of Euler equations does not alter consumption-based fundamental asset pricing equation. It imposes that the pricing kernel has also to account jointly for two additional first-order conditions. I perform empirical exercises aiming to account for equity premium in U.S. and to price six Fama-French portfolios. I find significant elasticity ranging from 0.15 to 0.75 and risk aversion from 1.33 to 3.51. These investor decisions may be playing a relevant role in terms of completing markets.