کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10478462 | 931113 | 2005 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Risk preferences in multi-period consumption models, the equity premium puzzle, and habit formation utility
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
The relationship between the relative risk aversion measure for the utility function for consumption and that for the value function for wealth is a derived relationship whose properties depend on how consumption and wealth are defined and measured. This fact together with information concerning estimates for these two relative risk aversion measures is used to give another perspective on the equity premium puzzle, and to explain why it is that the habit formation utility function is effective in eliminating that puzzle. A time separable utility function that can serve as an alternative to the assumption of habit formation is also presented.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Monetary Economics - Volume 52, Issue 8, November 2005, Pages 1497-1515
Journal: Journal of Monetary Economics - Volume 52, Issue 8, November 2005, Pages 1497-1515
نویسندگان
Donald J. Meyer, Jack Meyer,