risk is the dominant force, the size distribution of disasters follows a power law, and the economy has a representative … difference between the power-law tail parameter and the coefficient of relative risk aversion, γ. The options-pricing formula …

. However, in a Lucas-tree world, the aggregate risk is given by the process for GDP and cannot be altered by the creation of … will be nil. With heterogeneity in coefficients of relative risk aversion, safe assets can take the form of private bond … issues from low-risk-aversion to high-risk-aversion agents. The model assumes Epstein-Zin/Weil preferences with common values …

monetary base and the price level at these times differed from the post-World War I1 experience in ways predicted by the theory …

dividend yield--would be close to the risk-free rate, estimated to be around 1%. We study these properties within an asset ….1%) confidence band along with a small risk premium for gold. In this scenario, the bulk of gold's expected return corresponds to the … appreciation. Nevertheless, the uncertainty in gold returns is concentrated in the price-change component. The model can explain …