A Provincial View of Consumption Risk Sharing: Asset Classes As Shock Absorbers
نویسندگان
چکیده
منابع مشابه
Technological Growth, Asset Pricing, and Consumption Risk
In this paper we develop a theoretical model in order to understand co-movements between asset returns and consumption over short and long horizons. We present an intertemporal general equilibrium model featuring two types of shocks: "small", frequent and disembodied shocks to productivity and "large" technological innovations, which are embodied into new vintages of the capital stock. The latt...
متن کاملBusiness - cycle consumption risk and asset prices ∗
We disaggregate consumption growth into components with different levels of persistence and show that a single business-cycle consumption factor can explain satisfactorily the differences in risk premia across book-to-market and size-sorted portfolios. We argue that accounting for persistence heterogeneity in consumption is important for interpreting cross-sectional risk compensations in financ...
متن کاملWhat Do International Asset Returns Imply About Consumption Risk-Sharing?∗ (Preliminary and Incomplete)
An extensive literature has examined the potential risk-sharing gains from international diversification by focusing on models and data based upon consumption relationships across countries. These consumption-based studies have largely ignored the implications of the models for asset pricing moments, leading to counterfactual asset pricing relationships such as low equity premia, high risk free...
متن کاملElectromagnetic Shock Absorbers
Automobiles and trucks have shock absorbers to damp out the vibration experienced due to roughness of the roads. However, energy in conventional shock absorbers gets dissipated as heat and not used in any way. Regenerative electromagnetic shock absorbers provide means for recovering the energy dissipated in shock absorbers. Electromagnetic shock absorbers for potential use in vehicles are fabri...
متن کاملNew classes of Extereme Shock Models
In industry or nature, there are systems subjected to a secuence of shocks ocurring randomly in time. these shocks are causing aging or failure of system. According to the type of shocks, shock models divided in two major groups, Extreme Shock Models and Cumulative Shock Models. In the extreme shock models just impact of last shock named fatal shock would be studied and in the cumul...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2019
ISSN: 1556-5068
DOI: 10.2139/ssrn.3350782