Political Cycles and Stock Returns
我们构建了一个由时变风险厌恶驱动的政治周期模型。行为人选择在公共部门或私营部门工作,并选择投票给民主党或共和党。在均衡中,当风险厌恶程度较高时,行为人会选举民主党——即承诺更多再分配的政党。该模型预测民主党执政时期股市平均收益更高,从而解释了著名的“总统之谜”。该模型还可以解释为什么民主党执政时期经济增长更快。 在数据中,民主党选民的风险厌恶程度更高,且风险厌恶在民主党执政期间有所下降。公共部门员工投票给民主党,而企业家投票给共和党,与模型预测一致。
英文原文
We develop a model of political cycles driven by time-varying risk aversion. Agents choose to work in the public or private sector and to vote Democratic or Republican. In equilibrium, when risk aversion is high, agents elect Democrats—the party promising more redistribution. The model predicts higher average stock market returns under Democratic presidencies, explaining the well-known “presidential puzzle.” The model can also explain why economic growth has been faster under Democratic presidencies. In the data, Democratic voters are more risk averse, and risk aversion declines during Democratic presidencies. Public workers vote Democratic, while entrepreneurs vote Republican, as the model predicts.