[02674] General Equilibrium with Unhedgeable Fundamentals and Heterogeneous Agents
Session Time & Room : 3C (Aug.23, 13:20-15:00) @A508
Type : Contributed Talk
Abstract : We solve a general equilibrium model in which aggregate consumption has uninsurable growth shocks, rendering the market dynamically incomplete. Agents' stochastic discount factors depend on the history of unhedgeable shocks, agents trade assets dynamically, and the dispersion of agents' preferences impacts both the interest rate and asset prices, hence no representative agent exists.
