Chapter 61 Intertemporal Substitution and Risk Aversion
Object category:
Elektronische Ressource
Person/Institution:
Date:
2007
Language:
Englisch
Additional information
Abstract:
We study structural models of stochastic discount factors and explore alternative methods of estimating such models using data on macroeconomic risk and asset returns. Particular attention is devoted to recursive utility models in which risk aversion can be modified without altering intertemporal substitution. We characterize the impact of changing the intertemporal substitution and risk aversion parameters on equilibrium short-run and long-run risk prices and on equilibrium wealth.
Access and usage options
Administrative details
Created:
2023-04-13
Last changed:
2023-01-20
Added to portal:
2023-04-13
Feedback
Our data sets are in constant development. If you have additional information about this object or discovered an error, please write to us. Information on privacy policy