This paper establishes new evidence on the cyclical behaviour of household income risk in Great Britain and assesses … the role of social insurance policy in mitigating against this risk. We address these issues using the British Household …. We then estimate how income risk, measured by the variance and the skewness of the probability distribution of shocks to …

uninsured capital income risk, and suffer from an information-processing capacity constraint. For given attention devoted to … capital income risk, we solve for the optimal consumption-saving choices and show that the expected welfare is increasing with … capacity, assuming a relative risk aversion degree larger than unity. Furthermore, we solve for attention choice and find that …

of savings, precautionary savings, loss aversion, and risk. We provide the relevant theory, followed by empirical tests …We consider a simple, two period, consumption-savings model with future income uncertainty that examines the interplay … present bias. We predict, and show empirically, that loss aversion reduces savings, and that those who are more loss averse …

A large literature suggests that the expected equity risk premium is countercyclical. Using a variety of different … measures for this risk premium, we document that it also exhibits growth asymmetry, i.e. the risk premium rises sharply in … which agents cannot perfectly observe the state of current productivity, can generate the observed asymmetry in the risk …

This paper studies the impact of financial sector size and leverage on the business cycle and risk-free rates dynamics …. We develop a general equilibrium model of a productive economy where financial intermediaries provide costly risk … cycle fluctuations, while providing households with a risk-free asset whose real return is pro-cyclical and possibly …

suggested by theory. This evidence is robust to different model specifications and econometric techniques as well as to the …