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Substitution, Risk Aversion and the Temporal Behaviour of Consumption and Asset Returns I: A Theoretical Framework

Citations

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. About very large risk aversion estimates
    by Economic Logician in Economic Logic on 2011-08-05 19:59:00
  2. The price of long-run risk
    by Economic Logician in Economic Logic on 2013-11-12 20:49:00

Citations

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Cited by:

  1. Buss, Adrian, 2013. "Capital controls and international financial stability: a dynamic general equilibrium analysis in incomplete markets," Working Paper Series 1578, European Central Bank.
  2. Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean‐Marc Tallon, 2018. "Ambiguity and the historical equity premium," Quantitative Economics, Econometric Society, vol. 9(2), pages 945-993, July.
  3. YiLi Chien & Hanno Lustig, 2010. "The Market Price of Aggregate Risk and the Wealth Distribution," The Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1596-1650, April.
  4. Hansen, Lars Peter, 2013. "Uncertainty Outside and Inside Economic Models," Nobel Prize in Economics documents 2013-7, Nobel Prize Committee.
  5. Athanasopoulos, George & de Carvalho Guillén, Osmani Teixeira & Issler, João Victor & Vahid, Farshid, 2011. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," Journal of Econometrics, Elsevier, vol. 164(1), pages 116-129, September.
  6. Olivier Blanchard, 2019. "Public Debt and Low Interest Rates," American Economic Review, American Economic Association, vol. 109(4), pages 1197-1229, April.
  7. Arif Oduncu, 2012. "Determinants of Precautionary Savings : Elasticity of Intertemporal Substitution vs. Risk Aversion," Working Papers 1227, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  8. Casey B. Mulligan, 2002. "Capital, Interest, and Aggregate Intertemporal Substitution," NBER Working Papers 9373, National Bureau of Economic Research, Inc.
  9. Mumtaz, Haroon & Theodoridis, Konstantinos, 2017. "Common and country specific economic uncertainty," Journal of International Economics, Elsevier, vol. 105(C), pages 205-216.
  10. Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson, 2015. "Investor Information, Long-Run Risk, and the Term Structure of Equity," The Review of Financial Studies, Society for Financial Studies, vol. 28(3), pages 706-742.
  11. Croce & Colacito, 2008. "Risk sharing for the long-run. The benefits from financial integration," 2008 Meeting Papers 985, Society for Economic Dynamics.
  12. Lei Lin & Jing Tan & Wenzhen Liu, 2022. "Does monetary policy uncertainty command a risk premium in the Chinese stock market?," International Review of Finance, International Review of Finance Ltd., vol. 22(3), pages 433-452, September.
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  21. Stefan Nagel & Zhengyang Xu, 2022. "Asset Pricing with Fading Memory," The Review of Financial Studies, Society for Financial Studies, vol. 35(5), pages 2190-2245.
  22. Kim, Kun Ho, 2014. "Counter-cyclical risk aversion," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 384-401.
  23. Lorenzo Maria Stanca, 2023. "Recursive Preferences, Correlation Aversion, and the Temporal Resolution of Uncertainty," Papers 2304.04599, arXiv.org, revised Jul 2023.
  24. Stefano d¡¦Addona, 2018. "Rational Ignorance in Long-run Risk Models," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 17(1), pages 43-54, June.
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  37. Yongyang Cai & William Brock & Anastasios Xepapadeas & Kenneth Judd, 2018. "Climate Policy under Cooperation and Competition between Regions with Spatial Heat Transport," DEOS Working Papers 1806, Athens University of Economics and Business.
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  51. Takeshi Yagihashi & Juan Du, 2015. "Intertemporal elasticity of substitution and risk aversion: are they related empirically?," Applied Economics, Taylor & Francis Journals, vol. 47(15), pages 1588-1605, March.
  52. Epstein, Larry G. & Zin, Stanley E., 2001. "The independence axiom and asset returns," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 537-572, December.
  53. Zhongjun Qu & Denis Tkachenko, 2017. "Global Identification in DSGE Models Allowing for Indeterminacy," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 84(3), pages 1306-1345.
  54. Toshiaki Ogawa & Masato Ubukata & Toshiaki Watanabe, 2020. "Stock Return Predictability and Variance Risk Premia around the ZLB," IMES Discussion Paper Series 20-E-09, Institute for Monetary and Economic Studies, Bank of Japan.
  55. Mumtaz, Haroon & Theodoridis, Konstantinos, 2020. "Dynamic effects of monetary policy shocks on macroeconomic volatility," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 262-282.
  56. Christopher Anderson, 2021. "Consumption-Based Asset Pricing When Consumers Make Mistakes," Finance and Economics Discussion Series 2021-015, Board of Governors of the Federal Reserve System (U.S.).
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