| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11476 |
| 来源ID | Working Paper 11476 |
| Consumption Strikes Back?: Measuring Long-Run Risk | |
| Lars Peter Hansen; John Heaton; Nan Li | |
| 发表日期 | 2005-07-11 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | We characterize and measure a long-run risk return tradeoff for the valuation of financial cash flows that are exposed to fluctuations in macroeconomic growth. This tradeoff features components of financial cash flows that are only realized far into the future but are still reflected in current asset values. We use the recursive utility model with empirical inputs from vector autoregressions to quantify this relationship; and we study the long-run risk differences in aggregate securities and in portfolios constructed based on the ratio of book equity to market equity. Finally, we explore the resulting measurement challenges and the implied sensitivity to alternative specifications of stochastic growth. |
| 主题 | Financial Economics ; Financial Markets ; Macroeconomics ; Consumption and Investment |
| URL | https://www.nber.org/papers/w11476 |
| 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/569119 |
| 推荐引用方式 GB/T 7714 | Lars Peter Hansen,John Heaton,Nan Li. Consumption Strikes Back?: Measuring Long-Run Risk. 2005. |
| 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 | ||
| w11476.pdf（471KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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