Rischio di lungo periodo e premio a termine
AbstractAbstract: Standard theoretical model cannot generate positive and large real bond risk premium under power utility preferences. Following recent developments in equity premium literature we explore bond premium in a long run risk environment with generalized isoleastic preferences. This approach explains equity premium puzzle, but it fails to fit real bond prices and returns. Term premium is negative even if we model exogenous consumption growth with a persistent component and time-varying volatility
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano in its series Departmental Working Papers with number 2008-03.
Date of creation: 17 Feb 2008
Date of revision:
Asset pricing; long run risk; bond premium puzzle;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
This paper has been announced in the following NEP Reports:
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (DEMM Working Papers) The email address of this maintainer does not seem to be valid anymore. Please ask DEMM Working Papers to update the entry or send us the correct address.
If references are entirely missing, you can add them using this form.