Long-run risk through consumption smoothing
Web1 de jan. de 2016 · The greater is the aversion to long-run risk relative to the aversion to short-run risk, ... “Long-Run Risk Through Consumption Smoothing.” Review of Financial Studies 23: 3190–3224. 10.1093/rfs/hhq033 Search in Google Scholar. Keeney, R. 1973. “Risk Independence and Multiattributed Utility Functions.” Websmooth consumption during unemployment spells. Private unemployment insurance could provide the same function, but, due to prob-lems such as adverse selection, private con-sumption insurance markets for spells of unemployment may not exist.' Individuals can save for unemployment, but this is less effi-cient than pooling unemployment risk through
Long-run risk through consumption smoothing
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WebJSTOR Home Weblabelled "long-run risk" in previous literature (Bansal and Yaron, 2004). We show that even when the log technology process is a random walk, endogenous consumption …
WebLong-Run Risk through Consumption Smoothing. Article. Dec 2007; Georg Kaltenbrunner; Lars A Lochstoer; We examine how long-run consumption risk arises endogenously in a standard production economy ... Web1 de fev. de 2024 · When calibrated to the consumption growth volatility in the Jordà–Schularick–Taylor macrohistory database, our model succeeds in yielding an equity premium (adjusted for financial leverage) of 4.27% per annum, which is close to 4.36% in the historical data. The average interest rate is 1.97%, which is not far from 0.82% in the …
WebDownloadable (with restrictions)! We examine how long-run consumption risk arises endogenously in a standard production economy model where the representative agent … WebWe examine how long-run consumption risk arises endogenously in a standard production economy model where the representative agent has Epstein-Zin preferences. We show that even when technology growth is i.i.d., optimal consumption smoothing induces long run risk -highly persistent variation in expected consumption growth.
Web106 long-run productivity risk. The model and main asset pricing results are presented in section 107 3. Section 4 examines the sensitivity of the results to (i) the elasticity of substitution between 108 consumption and leisure; (ii) different specifications of long-run risk; (iii) the decision horizon of 4
WebEven when technology growth is i.i.d., optimal consumption smoothing induces highly persistent time-variation in expected consumption growth (long-run risk). This in-creases the price of risk when investors prefer early resolution of uncertainty, and the model can then account for the low volatility of consumption growth and the high price of risk with … crown on netflix season 4Webof investors for a smooth consumption path as implied by the intertemporal budget constraint; and (ii) the large equity risk premium that agents demand when they fear a reduction in long-run economic prospects. Keywords: Recursive preferences, intertemporal budget constraint, expected returns, asset pric-ing, long-run risks. crown on molar toothWebEndogenous consumption smoothing increases the price of risk in this economy as it induces highly persistent time-variation in expected aggregate consumption growth … crown on nhs costWeb“ideal” fiscal policy that combines the benefits from long-run fiscal discipline with the benefits from government consumption smoothing in an incomplete markets … building painting austin txhttp://people.stern.nyu.edu/dbackus/GE_asset_pricing/KaltenbrunnerLochstoer%20Jun%2006.pdf crown on nhs dentistWebtainty, these shocks carry a positive price of risk. This source of risk is labeled "long-run risk" in Bansal and Yaron (2004). We show in this article that such long-run risks arise … building panels manufacturerWebLong-Run Risk through Consumption Smoothing Yaron (2004). The model thus provides a theoretical justification for the exis-tence of long-run consumption risk, which is difficult to establish empirically, as pointed out by Harvey and Shepard (1990) and … crown on snooker players waistcoats