کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5099437 | 1377007 | 2011 | 20 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Risk premia in general equilibrium
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
This paper shows that non-linearities from a neoclassical production function alone can generate time-varying, asymmetric risk premia and predictability over the business cycle. These empirical key features become relevant when we allow for non-normalities in the form of rare disasters. We employ analytical solutions of dynamic stochastic general equilibrium models, including a novel solution with endogenous labor supply, to obtain closed-form expressions for the risk premium in production economies. In contrast to an endowment economy with constant investment opportunities, the curvature of the consumption function affects the risk premium in production economies through controlling the individual's effective risk aversion.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 35, Issue 9, September 2011, Pages 1557-1576
Journal: Journal of Economic Dynamics and Control - Volume 35, Issue 9, September 2011, Pages 1557-1576
نویسندگان
Olaf Posch,