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Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk

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  • Ralph S. J. Koijen
  • Hanno Lustig
  • Stijn Van Nieuwerburgh
  • Adrien Verdelhan

Abstract

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Suggested Citation

  • Ralph S. J. Koijen & Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2010. "Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk," American Economic Review, American Economic Association, vol. 100(2), pages 552-556, May.
  • Handle: RePEc:aea:aecrev:v:100:y:2010:i:2:p:552-56
    Note: DOI: 10.1257/aer.100.2.552
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    References listed on IDEAS

    as
    1. Hansen, Lars Peter & Jagannathan, Ravi, 1991. "Implications of Security Market Data for Models of Dynamic Economies," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 225-262, April.
    2. Lars Peter Hansen & José A. Scheinkman, 2009. "Long-Term Risk: An Operator Approach," Econometrica, Econometric Society, vol. 77(1), pages 177-234, January.
    3. Tim Bollerslev & George Tauchen & Hao Zhou, 2009. "Expected Stock Returns and Variance Risk Premia," Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4463-4492, November.
    4. Epstein, Larry G & Zin, Stanley E, 1989. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework," Econometrica, Econometric Society, vol. 57(4), pages 937-969, July.
    5. Ravi Bansal & Amir Yaron, 2004. "Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles," Journal of Finance, American Finance Association, vol. 59(4), pages 1481-1509, August.
    6. Lars Peter Hansen & John C. Heaton & Nan Li, 2008. "Consumption Strikes Back? Measuring Long-Run Risk," Journal of Political Economy, University of Chicago Press, vol. 116(2), pages 260-302, April.
    7. Xavier Gabaix, 2012. "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance," The Quarterly Journal of Economics, Oxford University Press, vol. 127(2), pages 645-700.
    8. Lars Peter Hansen, 2008. "Modeling the Long Run: Valuation in Dynamic Stochastic Economies," NBER Working Papers 14243, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. van Binsbergen, Jules H. & Fernández-Villaverde, Jesús & Koijen, Ralph S.J. & Rubio-Ramírez, Juan, 2012. "The term structure of interest rates in a DSGE model with recursive preferences," Journal of Monetary Economics, Elsevier, vol. 59(7), pages 634-648.
    2. Jules van Binsbergen & Michael Brandt & Ralph Koijen, 2012. "On the Timing and Pricing of Dividends," American Economic Review, American Economic Association, vol. 102(4), pages 1596-1618, June.
    3. Boons, Martijn & Duarte, Fernando M. & de Roon, Frans & Szymanowska, Marta, 2013. "Time-varying inflation risk and the cross section of stock returns," Staff Reports 621, Federal Reserve Bank of New York, revised 01 Nov 2018.
    4. repec:eee:jimfin:v:74:y:2017:i:c:p:337-352 is not listed on IDEAS
    5. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2011. "Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors," Working Paper Series 2011-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    6. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2012. "Variance bounds on the permanent and transitory components of stochastic discount factors," Journal of Financial Economics, Elsevier, vol. 105(1), pages 191-208.
    7. Wang, Qin & Ren, Yu & Zou, Yiheng, 2016. "Uninsured expense shocks and equity premia," Economic Modelling, Elsevier, vol. 58(C), pages 64-74.
    8. J. David Lopez-Salido & Francisco Vazquez-Grande & Pierlauro Lopez, 2015. "Macro-Finance Separation by Force of Habit," 2015 Meeting Papers 980, Society for Economic Dynamics.
    9. Kano, Takashi & Wada, Kenji, 2017. "The first arrow hitting the currency target: A long-run risk perspective," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 337-352.

    More about this item

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • E13 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Neoclassical
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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