A frictionless general equilibrium model featuring heterogeneous time-varying risk tolerance explains the business cycle dynamics of intermediary leverage, aggregate credit, and other asset markets’ facts. In booms, when risk tolerance is high, households borrow more and aggregate credit increases funded by higher intermediary debt. In recessions, credit contracts and intermediaries delever. Yet, their debt-to-equity ratios increase as equity drops when risk aversion increases. Because households borrow more or less as their risk tolerance increases or decreases, the intermediary’s balance sheet forecasts stock returns both in the time series and the cross section. Moreover, credit expansions correlate with negatively skewed stock returns, low credit spreads, and predict lower future returns.

具有异质时变风险承受能力的无摩擦一般均衡模型解释了中介杠杆、总信贷和其他资产市场事实的商业周期动态。在繁荣时期，当风险承受能力较高时，家庭借入更多资金，由较高的中介债务资助的总信贷增加。在经济衰退中，信贷合同和中介机构去杠杆。然而，当风险厌恶情绪增加时，它们的债务权益比率会随着股票的下降而增加。因为随着风险承受能力的增加或减少，家庭或多或少地借贷，中介机构的资产负债表预测了时间序列和横截面的股票回报。此外，信贷扩张与股票收益负偏、信贷利差低相关，并预测未来收益较低。