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Making the Case for a Low Intertemporal Elasticity of Substitution

Braun, R. Anton; Nakajima, Tomoyuki - Institute of Economic Research, Kyoto University - 2011

We provide two ways to reconcile small values of the intertemporal elasticity of substitution (IES) that range between 0.35 and 0.5 with empirical evidence that the IES is large. This is done using a model in which all agents have identical preferences and the same access to asset markets. We...

Persistent link: https://www.econbiz.de/10009318195

Sustained positive consumption in a model of stochastic growth: The role of risk aversion

Mitra, Tapan; Roy, Santanu - In: Journal of Economic Theory 147 (2012) 2, pp. 850-880

In a stochastic economy, long run consumption and output may not be bounded away from zero even when productivity is arbitrarily high near zero and uncertainty is arbitrarily small. In the one-sector stochastic optimal growth model with i.i.d. production shocks, we characterize the nature of...

Persistent link: https://www.econbiz.de/10010576551

Liquidität, Risikoeinstellung des Kapitalmarktes und Konjunkturerwartung als Preisdeterminanten von Collateralized Debt Obligations (CDOs) - Eine simulationsgestützte Analyse

Gann, Philipp - Volkswirtschaftliche Fakultät, … - 2009

Gegenstand der vorliegenden Arbeit ist die Analyse des Einflusses der Faktoren Konjunkturerwartung, Risikoaversion des … Risikoaversion des Kapitalmarktes auf die Marktwerte von CDOs verschiedener Seniorität analysiert. Die Höhe der Risikoaversion … und die Höhe der Risikoaversion des Kapitalmarktes die Kreditvergabestandards der Institute zu beeinflussen vermag …

Persistent link: https://www.econbiz.de/10005187262

Vertragliche Zusammenarbeit bei der energetischen Biomasselieferung: Einstellungen und Bindungsbereitschaften von deutschen Landwirten

Granoszewski, Karol; Spiller, Achim - Gesellschaft für Wirtschafts- und Sozialwissenschaften … - 2013

Im Zuge der Energiewende treten immer mehr Bioenergieanlagenbetreiber an Landwirte heran, um ihren Biomassebedarf langfristig vertraglich abzusichern. Sie verfügen jedoch nur über wenig Erfahrung bezüglich Vertragsmotivationen von Landwirten. Vor diesem Hintergrund wird auf Basis einer...

Persistent link: https://www.econbiz.de/10011069529

Lassen sich CAPM, HCAPM und CCAPM durch konsumbasierte zeitvariable Parameterspezifikation rehabilitieren?

Auer, Benjamin R. - In: Journal of Economics and Statistics (Jahrbuecher fuer … 232 (2012) 5, pp. 518-544

Using a new dataset for the German market, this article analyses whether modeling time-varying stochastic discount factor parameters in the CAPM of Sharpe (1964), the HCAPM of Jagannathan and Wang (1996) and the CCAPM of Lucas (1978) can help to explain the cross-section of book-to-market, size...

Persistent link: https://www.econbiz.de/10010907944

Consumer Demand, Consumption, and Asset Pricing: An Integrated Analysis

Kim, H. Youn; McLaren, Keith R.; Wong, K.K. Gary - Department of Econometrics and Business Statistics, … - 2014

This paper integrates seemingly disjoint studies on consumer behavior in micro and macro analyses via the intertemporal two-stage budgeting procedure with durable goods and liquidity constraints. The model accounts for the influences of nondurables consumption, commodity prices, and durables...

Persistent link: https://www.econbiz.de/10010958950

The equity premium in a production economy; A new perspective involving recursive utility

Aase, Knut K. - Institutt for foretaksøkonomi, Norges Handelshøyskole … - 2015

We study a rational expectations' competitive equilibrium in a production economy, i.e., a system of prices at which firms' profit maximizing production decisions and individuals' preferred affordable consumption choices equate supply and demand in every market. We derive the equilibrium price...

Persistent link: https://www.econbiz.de/10011252631

Disentangling Intertemporal Substitution and Risk Aversion under the Expected Utility Theorem

Lau, Chi-Lei Oscar - Volkswirtschaftliche Fakultät, … - 2008

A disturbing feature of the conventional objective function for intertemporal decisions under uncertainty is that the agent's attitudes toward intertemporal substitution and risk aversion are entangled. This paper shows that, in contrast to common perception, the two attitudes can be completely...

Persistent link: https://www.econbiz.de/10005260195

Preferences for Risk in Dynamic Models with Adjustment Costs

Vereshchagina, Galina - In: Review of Economic Dynamics 17 (2014) 1, pp. 86-106

This paper characterizes the solution to a consumption/savings decision problem in which one of the consumption goods involves transaction costs. It then analyzes how such adjustment costs affect consumers' risk attitudes. Previous studies have suggested that transaction costs, by resulting in...

Persistent link: https://www.econbiz.de/10010729239

Aggregate Consumption-Wealth Ratio and the Cross-Section of Stock Returns: Some International Evidence

Gao, Paul P.J.; Huang, Kevin X.D. - In: Annals of Economics and Finance 9 (2008) 1, pp. 1-37

We find that the short-term deviations from long-run consumption-wealth relationship (cay) forecast stock market returns and serve as a conditioning variable in the capital asset pricing model (CAPM) for explaining the cross-section of stock returns for the United Kingdom and Japan. Our...

Persistent link: https://www.econbiz.de/10009207396