| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3684 |
| DP3684 Monetary Union, Institutions and Financial Market Integration, Italy 1862-1905 | |
| Gianni Toniolo; Giovanni Vecchi; Leandro Conte | |
| 发表日期 | 2003-01-28 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | This Paper introduces state dependent utility into the standard Mehra and Prescott (1985) economy by allowing the representative agent?s coefficient of relative risk aversion to vary with the underlying economy?s growth rate. Existence of equilibrium is proved and its asymptotic properties analysed. This generalization leads to level dependent marginal rates of substitution, a property that sharply distinguishes this model from the standard construct. For very low coefficients of relative risk aversion, the equilibrium risk free and risky security returns are demonstrated to have volatilities and an associated equity premium that substantially exceed what is found in the data. This provides a contrasting perspective on the classic ?equity premium puzzle.? |
| 主题 | Financial Economics |
| 关键词 | State dependent utility Equity premium Equity premium puzzle |
| URL | https://cepr.org/publications/dp3684 |
| 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/532712 |
| 推荐引用方式 GB/T 7714 | Gianni Toniolo,Giovanni Vecchi,Leandro Conte. DP3684 Monetary Union, Institutions and Financial Market Integration, Italy 1862-1905. 2003. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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