state-dependent risk aversion. Since a common factor - the state of the world - influences both stock prices and preferences …, we obtain a valuation equation in which the vector of excess returns on equity includes both consumption risk as well as … the risk associated with variations in preferences. We develop a simple model that can be estimated without specifying the …

state-dependent risk aversion. We obtain a valuation equation in which the vector of excess on equity includes both … consumption risk as well as the risk associated with variations in preferences. We develop a simple model that can be estimated … without specifying the functional form linking risk aversion with state variables. Our estimates are based on Markov chain …

This paper shows how to take into account risk aversion when measuring poverty under income variability. An application … households are sensitive to assumptions on the degree of risk aversion. The results point to the importance of panel data in … order to account for risk aversion and income variability in the measurement of poverty. …

Income variablity reduces social welfare if individuals are risk averse, and it is likely to increase inequality if … poorer households are more vulnerable to shocks. Using a simple method to estimate risk-adjusted measures of inequality and … welfare and wage data from Mexico, this note shows that it is easier for safety nets to offset the impact of risk on wage …