The role of household debt and delinquency decisions in consumption-based asset pricing

DOI10.1007/S10436-019-00344-1MaRDI QIDQ2000687zbMATH OpenOpenAlexFDO

Authors Paulo Rogério Faustino Matos

Publication date 28 June 2019

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-019-00344-1

zbMATH Keywords

representative agentasset pricing puzzlescredit market issuesgarnishment of a delinquent household endowmenthousehold underlying principles

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Recommendations

• Cross-sectional consumption-based asset pricing: a reappraisal
• Equity premium and consumption sensitivity when the consumer-investor allows for unfavorable circumstances.
• Household debt and crises of confidence
• House prices and consumer spending
• INCOME AND WEALTH HETEROGENEITY, PORTFOLIO CHOICE, AND EQUILIBRIUM ASSET RETURNS

Cites work

• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• A Quantitative Theory of Unsecured Consumer Credit with Risk of Default
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• Asset Prices in an Exchange Economy
• Bankruptcy and delinquency in a model of unsecured debt
• Common risk factors in the returns on stocks and bonds
• Constrained efficiency in the neoclassical growth model with uninsurable idiosyncratic shocks
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• Large Sample Properties of Generalized Method of Moments Estimators
• Macro-Finance*
• When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?

Cited in

(1)

• On preferences related party transactions, financial anomalies and the willingness to repay debt based on structural equation

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