| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP1783 |
| 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 |
| URL | https://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. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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