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Measuring Long-Run Consumption Risk

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  • James Kahn

    (Federal Reserve Bank of New York and New York University)

Abstract

behavior as productivity growth, modeled (as in Kahn and Rich, 2007) as a regime-switching process in the mean growth rate. The regime-switching process has very similar properties to the long-run risk component in Bansal-Yaron.

Suggested Citation

  • James Kahn, 2008. "Measuring Long-Run Consumption Risk," 2008 Meeting Papers 374, Society for Economic Dynamics.
    • Handle: RePEc:red:sed008:374
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