Tassi di interesse reali, rischio di lungo periodo e cicli economici
AbstractReal interest rates, long run risks and business cycles. Standard theoretical model under power utility preferences generates time series for real yields and output that are not consistent with the cyclical properties of the macroeconomic data. In particular real interest rates of the model are highly procyclical, while measured real interest rates are countercyclical. Following recent developments in equity premium literature we explore this question 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 their dynamics in relation to business cycles if we model exogenous consumption growth with a persistent component and time-varying volatility.
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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 2008-05.
Date of creation: 29 Feb 2008
Date of revision:
Asset pricing; long run risk; bond premium puzzle; business cycles;
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:
- NEP-ALL-2009-06-17 (All new papers)
- NEP-MAC-2009-06-17 (Macroeconomics)
- NEP-UPT-2009-06-17 (Utility Models & Prospect Theory)
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