Weblabelled "long-run risk" in previous literature (Bansal and Yaron, 2004). When the log technology process follows a random walk, endogenous 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.”

Long-Run Risk through Consumption Smoothing

WebLong-Run Risk through Consumption Smoothing Georg Kaltenbrunner and Lars Lochstoery;z First draft: May 2006 June 18, 2007 Abstract We show that a standard … Web1Bot h type s of smoothing ar e employe d extensively in low-incom economies, an researc ha concentrated on both. In contrast, nearly all empirical work on coping with risk in high-income economies considers just consumption smoothing after shocks—although a good deal of income smoothing goes on as well, mainly through choice of occupation. harry potter crochet graph graph patterns

Long-Run Risk through Consumption Smoothing The …

WebEndogenous consumption smoothing increases the price of risk in this economy as it induces highly persistent time-variation in expected aggregate 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 Web3 de dez. de 2007 · We examine how long-run consumption risk arises endogenously in a standard production economy model where the representative agent has Epstein--Zin … charles blevins