Preferences, Consumption Smoothing, and Risk Premia
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- Lettau, M. & Uhlig, H.F.H.V.S., 1997. "Preferences, Consumption Smoothing and Risk Premia," Discussion Paper 1997-60, Tilburg University, Center for Economic Research.
References listed on IDEAS
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Citations
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Cited by:
- Cepii & Cepremap, 2001. "MARMOTTE : a Multinational Model," Working Papers 2001-15, CEPII research center.
- Josep Pijoan-Mas, 2007.
"Pricing Risk in Economies with Heterogeneous Agents and Incomplete Markets,"
Journal of the European Economic Association,
MIT Press, vol. 5(5), pages 987-1015, September.
- Josep Pijoan-Mas, 2002. "Pricing Risk in Economies with Heterogenous Agents and Incomplete Markets," Centro de Altisimos Estudios Rios Pe©rez(CAERP) 3, Centro de Altisimos Estudios Rios Perez (CAERP).
- Pijoan-Mas, Josep, 2006. "Pricing Risk in Economies with Heterogenous Agents and Incomplete Markets," CEPR Discussion Papers 5602, C.E.P.R. Discussion Papers.
- Douch, Mohamed, 2004.
"Equity Premiums In Small Open Economy,"
MPRA Paper
14613, University Library of Munich, Germany.
- Douch, Mohamed, 2004. "Equity Premiums In a Small Open Economy," MPRA Paper 876, University Library of Munich, Germany.
- Martin Lettau, 2000. "Cross-variable restrictions in Euler equations and risk premia," Applied Economics Letters, Taylor & Francis Journals, vol. 7(2), pages 99-101.
- Andreas Hornstein & Harald Uhlig, 2000.
"What is the Real Story for Interest Rate Volatility?,"
German Economic Review,
Verein für Socialpolitik, vol. 1(1), pages 43-67, February.
- Andreas Hornstein & Harald F. Uhlig, 1999. "What is the real story for interest rate volatility?," Working Paper 99-09, Federal Reserve Bank of Richmond.
- Chiarella Carl & Semmler Willi & Mittnik Stefan & Zhu Peiyuan, 2002. "Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(1), pages 1-39, April.
- Olivier Allais & Loic Cadiou & Stéphane Dees, 2001. "Defining Consumption Behaviour in a Multi-Country Model," Working Papers 2001-02, CEPII research center.
- Lawrence J. Christiano & Michele Boldrin & Jonas D. M. Fisher, 2001.
"Habit Persistence, Asset Returns, and the Business Cycle,"
American Economic Review,
American Economic Association, vol. 91(1), pages 149-166, March.
- Michele Boldrin & Lawrence J. Christiano & Jonas D. M. Fisher, 1999. "Habit persistence, asset returns and the business cycles," Working Paper Series WP-99-14, Federal Reserve Bank of Chicago.
- Michele Boldrin & Lawrence J. Christiano & Jonas D. M. Fisher, 2000. "Habit persistence, asset returns and the business cycle," Staff Report 280, Federal Reserve Bank of Minneapolis.
- Tack Yun & Wooheon Rhee, 2004. "Implications of Quasi-Geometric Discounting on the Observable Sharpe Ratio," Econometric Society 2004 North American Summer Meetings 243, Econometric Society.
- Aude Pommeret & Anne Epaulard, 2001. "Agents’ Preferences, the Equity Premium, and the Consumption-Saving Trade-Off; An Application to French Data," IMF Working Papers 01/117, International Monetary Fund.
More about this item
Keywords
Asset Prices; Consumption; Preferences; Risk Aversion; Risk Premia;JEL classification:
- E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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