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The equity premium and time-varying risk behavior

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  • James M. Nason

Abstract

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Suggested Citation

  • James M. Nason, 1988. "The equity premium and time-varying risk behavior," Finance and Economics Discussion Series 11, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgfe:11
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    Citations

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    Cited by:

    1. Danthine, Jean-Pierre & Donaldson, John B. & Mehra, Rajnish, 1992. "The equity premium and the allocation of income risk," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 509-532.
    2. Takashi Kano & James M. Nason, 2014. "Business Cycle Implications of Internal Consumption Habit for New Keynesian Models," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(2-3), pages 519-544, March.
    3. Abel, Andrew B, 1990. "Asset Prices under Habit Formation and Catching Up with the Joneses," American Economic Review, American Economic Association, vol. 80(2), pages 38-42, May.
    4. Constantinides, George M & Duffie, Darrell, 1996. "Asset Pricing with Heterogeneous Consumers," Journal of Political Economy, University of Chicago Press, vol. 104(2), pages 219-240, April.
    5. S. Rao Aiyagari, 1993. "Explaining financial market facts: the importance of incomplete markets and transaction costs," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 17(Win), pages 17-31.
    6. Cecchetti, Stephen G. & Lam, Pok-sang & Mark, Nelson C., 1993. "The equity premium and the risk-free rate : Matching the moments," Journal of Monetary Economics, Elsevier, vol. 31(1), pages 21-45, February.
    7. 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.
    8. John T. Barkoulas & Christopher F. Baum & Joseph Onochie, 1997. "A nonparametric investigation of the 90‐day t‐bill rate," Review of Financial Economics, John Wiley & Sons, vol. 6(2), pages 187-198.
    9. Aiyagari, S. Rao & Gertler, Mark, 1991. "Asset returns with transactions costs and uninsured individual risk," Journal of Monetary Economics, Elsevier, vol. 27(3), pages 311-331, June.
    10. Michele Boldrin & Lawrence J. Christiano & Jonas D.M. Fisher, 1995. "Asset Pricing Lessons for Modeling Business Cycles," NBER Working Papers 5262, National Bureau of Economic Research, Inc.
    11. Lawrence J. Christiano, 1989. "Understanding Japan's saving rate: the reconstruction hypothesis," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 13(Spr), pages 10-25.
    12. John Barkoulas & Christopher F. Baum & Joseph Onochie, 1996. "Nonlinear Nonparametric Prediction of the 90-Day T-Bill Rate," Boston College Working Papers in Economics 320., Boston College Department of Economics.
    13. Tsvetanka Karagyozova, 2007. "Asset Pricing with Heterogeneous Agents, Incomplete Markets and Trading Constraints," Working papers 2007-46, University of Connecticut, Department of Economics, revised Sep 2008.
    14. James M. Nason, 1991. "The permanent income hypothesis when the bliss point is stochastic," Discussion Paper / Institute for Empirical Macroeconomics 46, Federal Reserve Bank of Minneapolis.

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    Keywords

    Risk;

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