| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5930 |
| DP5930 Rewriting History | |
| Alexander Ljungqvist; Felicia Marston | |
| 发表日期 | 2006-11-23 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | We identify the relative importance of changes in the conditional variance of fundamentals (which we call "uncertainty") and changes in risk aversion ("risk" for short) in the determination of the term structure, equity prices and risk premiums. Theoretically, we introduce persistent time-varying uncertainty about the fundamentals in an external habit model. The model matches the dynamics of dividend and consumption growth, including their volatility dynamics and many salient asset market phenomena. While the variation in dividend yields and the equity risk premium is primarily driven by risk, uncertainty plays a large role in the term structure and is the driver of counter-cyclical volatility of asset returns. |
| 主题 | Financial Economics |
| 关键词 | Equity premium Uncertainty Stochastic risk aversion Time variation in risk and return Excess volatility External habit Term structure |
| URL | https://cepr.org/publications/dp5930 |
| 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/534786 |
| 推荐引用方式 GB/T 7714 | Alexander Ljungqvist,Felicia Marston. DP5930 Rewriting History. 2006. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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