منابع مشابه
Time-varying risk aversion and unexpected inflation
We formulate a consumption-based asset pricing model in which aggregate risk aversion is time-varying in response to both news about consumption growth (as in a habit formation model) and news about inflation. We estimate our model and explore its pricing implications for the term structure of interest rates and the cross-section of stock returns. Our empirical results support the hypothesis th...
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Stylized facts about statistical properties for short horizon returns in financial markets have been identified in the literature, but a satisfactory understanding for their manifestation is yet to be achieved. In this work, we show that a simple asset pricing model with representative agent is able to generate time series of returns that replicate such stylized facts if the risk aversion coeff...
متن کاملTime-Varying Risk Aversion and Unexpected Inflation∗ Unpublished Technical Appendix
where wt+n = [xt+1, x ′ t+2, . . . , x ′ t+n] ′ for a positive integers n. The conditional expectation is taken with respect to the distribution of the vector ηt+n =[εt+1, ε ′ t+2, . . . , ε ′ t+n] ′, given wt+n is generated by the recursion (A.1). β ∈ B is a vector of parameters. In our application, f is the vector of nominal discount bond prices, g is the vector of corresponding pricing kerne...
متن کاملTime - varying risk aversion : an application to energy hedging
Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of risk aversion that is based on the observed risk preferences of energy hedging market participants. The resulting estimates are applied to derive expli...
متن کاملTime Dependent Relative Risk Aversion
Risk management and the thorough understanding of the relations between financial markets and the standard theory of macroeconomics have always been among the topics most addressed by researchers, both financial mathematicians and economists. This work aims at explaining investors’ behavior from a macroeconomic aspect (modeled by the investors’ pricing kernel and their relative risk aversion) u...
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ژورنال
عنوان ژورنال: Journal of Financial Economics
سال: 2018
ISSN: 0304-405X
DOI: 10.1016/j.jfineco.2018.02.007