| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w7978 |
| 来源ID | Working Paper 7978 |
| Using Asset Prices to Measure the Cost of Business Cycles | |
| Fernando Alvarez; Urban J. Jermann | |
| 发表日期 | 2000-10-01 |
| 出版年 | 2000 |
| 语种 | 英语 |
| 摘要 | We propose a method to measure the welfare cost of economic fluctuations that does not require full specification of consumer preferences and instead uses asset prices. The method is based on the marginal cost of consumption fluctuations, the per unit benefit of a marginal reduction in consumption fluctuations expressed as a percentage of consumption. We show that this measure is an upper bound for the benefit of reducing all consumption fluctuations. We also clarify the link between the cost of consumption uncertainty, the equity premium, and the slope of the real term structure. To measure the marginal cost of fluctuations, we fit a variety of pricing kernels that reproduce key asset pricing statistics. We find that consumers would be willing to pay a very high price for a reduction in overall consumption uncertainty. However, for consumption fluctuations corresponding to business cycle frequencies, we estimate the marginal cost to be about 0.55% of lifetime consumption based on the period 1889-1997 and about 0.30% based on 1954-97. |
| 主题 | Macroeconomics ; Business Cycles ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w7978 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/565564 |
| 推荐引用方式 GB/T 7714 | Fernando Alvarez,Urban J. Jermann. Using Asset Prices to Measure the Cost of Business Cycles. 2000. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w7978.pdf（651KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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