G2TT
来源类型Discussion paper
规范类型论文
来源IDDP1783
DP1783 Stochastic Process Switching and Stage III of EMU
Paul De Grauwe; Hans Dewachter; Dirk Veestraeten
发表日期1998-01-31
出版年1998
语种英语
摘要This paper evaluates models with idiosyncratic consumption risk using Hansen and Jagannathan?s (1991) volatility bounds. It is shown that idiosyncratic risk does not change the volatility bounds at all when consumers have constant relative risk aversion (CRRA) preferences and the distribution of the idiosyncratic shock is independent of the aggregate state. Following Mankiw (1986), I show that idiosyncratic risk can help to enter the bounds when idiosyncratic uncertainty depends on the aggregate state of the economy. Since individual consumption data is not reliable, I compute an upper bound of the volatility bounds using individual income data and assume that agents must consume their endowment. I find that the model does not pass the Hansen and Jagannathan test even for very volatile idiosyncratic income data.
主题Financial Economics ; International Macroeconomics
关键词Asset prices Idiosyncratic risk Risk premia Volatility bounds
URLhttps://cepr.org/publications/dp1783
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/530926
推荐引用方式
GB/T 7714
Paul De Grauwe,Hans Dewachter,Dirk Veestraeten. DP1783 Stochastic Process Switching and Stage III of EMU. 1998.
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