| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w19541 |
| 来源ID | Working Paper 19541 |
| How Much Would You Pay to Resolve Long-Run Risk? | |
| Larry G. Epstein; Emmanuel Farhi; Tomasz Strzalecki | |
| 发表日期 | 2013-10-17 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | Though risk aversion and the elasticity of intertemporal substitution have been the subjects of careful scrutiny when calibrating preferences, the long-run risks literature as well as the broader literature using recursive utility to address asset pricing puzzles have ignored the full implications of their parameter specifications. Recursive utility implies that the temporal resolution of risk matters and a quantitative assessment of how much it matters should be part of the calibration process. This paper gives a sense of the magnitudes of implied timing premia. Its objective is to inject temporal resolution of risk into the discussion of the quantitative properties of long-run risks and related models. |
| 主题 | Macroeconomics ; Financial Economics |
| URL | https://www.nber.org/papers/w19541 |
| 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/577216 |
| 推荐引用方式 GB/T 7714 | Larry G. Epstein,Emmanuel Farhi,Tomasz Strzalecki. How Much Would You Pay to Resolve Long-Run Risk?. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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