| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12248 |
| 来源ID | Working Paper 12248 |
| Risk, Uncertainty and Asset Prices | |
| Geert Bekaert; Eric Engstrom; Yuhang Xing | |
| 发表日期 | 2006-05-22 |
| 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 %u201Cuncertainty%u201D) and changes in risk aversion (%u201Crisk%u201D 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 ; Portfolio Selection and Asset Pricing ; Financial Markets ; Macroeconomics ; Money and Interest Rates |
| URL | https://www.nber.org/papers/w12248 |
| 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/569902 |
| 推荐引用方式 GB/T 7714 | Geert Bekaert,Eric Engstrom,Yuhang Xing. Risk, Uncertainty and Asset Prices. 2006. |
| 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 | ||
| w12248.pdf（465KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
