Stock market participation and macro-financial trends

IF 4.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics Pub Date : 2025-12-01 Epub Date: 2025-10-11 DOI:10.1016/j.jmoneco.2025.103846

Francesco Saverio Gaudio

引用次数: 0

Abstract

The U.S. stock market participation rate has risen substantially since the 1980s. This paper studies the macro-financial implications of such structural change in a production-based asset-pricing model with external habits, which make investors’ effective risk aversion time-varying and decreasing with consumption. In this setup, higher participation generates a fall in the risk-free rate and an increase in the equity premium, consistent with recent U.S. trends. These novel results stem from a decline in the average participant’s risk tolerance, due to the entry of lower-consumption households relative to incumbents. Micro-level evidence from the U.S. Consumer Expenditure Survey supports the main model mechanism.

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股市参与与宏观金融走势

自上世纪80年代以来，美国股市参与率大幅上升。本文在具有外部习惯的基于生产的资产定价模型中研究了这种结构变化的宏观金融含义，这种结构变化使投资者的有效风险厌恶随消费而时变并递减。在这种情况下，更高的参与率会导致无风险利率下降，股票溢价上升，这与美国近期的趋势一致。这些新颖的结果源于平均参与者风险承受能力的下降，这是由于相对于现有的低消费家庭的进入。来自美国消费者支出调查的微观证据支持了主要模型机制。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Monetary Economics Multiple-

CiteScore

7.20

自引率

4.90%

发文量

审稿时长

74 days

期刊介绍： The profession has witnessed over the past twenty years a remarkable expansion of research activities bearing on problems in the broader field of monetary economics. The strong interest in monetary analysis has been increasingly matched in recent years by the growing attention to the working and structure of financial institutions. The role of various institutional arrangements, the consequences of specific changes in banking structure and the welfare aspects of structural policies have attracted an increasing interest in the profession. There has also been a growing attention to the operation of credit markets and to various aspects in the behavior of rates of return on assets. The Journal of Monetary Economics provides a specialized forum for the publication of this research.