基于习惯形成的资产定价模型的稳态分析

习惯形成对资产定价有重要的影响，但是以往的研究几乎没有对基于习惯形成的资产定价模型进行稳态分析。本文将经济学中的稳态分析引入资产定价中。对传统的基于习惯形成的资产定价模型进行了改进。我们的研究表明，当金融市场处于一般均衡状态的时候可能存在多个均衡解：当金融市场处于稳态时。随机折现因子和的乘积一定小于1;剩余消费比率是股票市场内部波动性的一个来源．剩余消费比率的变动可以导致资产价格的波动。这些结果可以帮助我们理解金融市场的内在波动性以及习惯形成对资产定价的影响。

Steady State Analysis of Asset Pricing Model Based on Habit Formation

Habit formation is a very important component to impact the asset price, but peoples did not discuss the Steady State of the asset pricing model. In this paper we introduce the Steady State to asset pricing and get a new asset pricing model. The results show that: in a general equilibrium market, there can be many equilibrium results; if financial market have been in the Steady State, the product of the stochastic discount factor and must have been less than one. We find that the surplus consumption ratio can induce the asset price to fluctuate. These results can help us to understand the volatility of the financial market.