Risk premia in general equilibrium

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Risk premia in general equilibrium. / Posch, Olaf.

I: Journal of Economic Dynamics and Control, Bind 35, Nr. 9, 2011, s. 1557-1576.

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avis › Tidsskriftartikel › Forskning › peer review

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Posch, O 2011, 'Risk premia in general equilibrium', Journal of Economic Dynamics and Control, bind 35, nr. 9, s. 1557-1576. https://doi.org/10.1016/j.jedc.2010.12.017

Author

Posch, Olaf. / Risk premia in general equilibrium. I: Journal of Economic Dynamics and Control. 2011 ; Bind 35, Nr. 9. s. 1557-1576.

Bibtex

@article{3025750a84d24764ab0a2156a432945c,

title = "Risk premia in general equilibrium",

abstract = "This paper shows that non-linearities from a neoclassical production function alone can generate time-varying, asymmetric risk premia and predictability over the business cycle. These empirical key features become relevant when we allow for non-normalities in the form of rare disasters. We employ analytical solutions of dynamic stochastic general equilibrium models, including a novel solution with endogenous labor supply, to obtain closed-form expressions for the risk premium in production economies. In contrast to an endowment economy with constant investment opportunities, the curvature of the consumption function affects the risk premium in production economies through controlling the individual's effective risk aversion.",

author = "Olaf Posch",

year = "2011",

doi = "10.1016/j.jedc.2010.12.017",

language = "English",

volume = "35",

pages = "1557--1576",

journal = "Journal of Economic Dynamics and Control",

issn = "0165-1889",

publisher = "Elsevier BV",

number = "9",

}

RIS

TY - JOUR

T1 - Risk premia in general equilibrium

AU - Posch, Olaf

PY - 2011

Y1 - 2011

N2 - This paper shows that non-linearities from a neoclassical production function alone can generate time-varying, asymmetric risk premia and predictability over the business cycle. These empirical key features become relevant when we allow for non-normalities in the form of rare disasters. We employ analytical solutions of dynamic stochastic general equilibrium models, including a novel solution with endogenous labor supply, to obtain closed-form expressions for the risk premium in production economies. In contrast to an endowment economy with constant investment opportunities, the curvature of the consumption function affects the risk premium in production economies through controlling the individual's effective risk aversion.

AB - This paper shows that non-linearities from a neoclassical production function alone can generate time-varying, asymmetric risk premia and predictability over the business cycle. These empirical key features become relevant when we allow for non-normalities in the form of rare disasters. We employ analytical solutions of dynamic stochastic general equilibrium models, including a novel solution with endogenous labor supply, to obtain closed-form expressions for the risk premium in production economies. In contrast to an endowment economy with constant investment opportunities, the curvature of the consumption function affects the risk premium in production economies through controlling the individual's effective risk aversion.

UR - http://www.scopus.com/inward/record.url?scp=80051782494&partnerID=8YFLogxK

U2 - 10.1016/j.jedc.2010.12.017

DO - 10.1016/j.jedc.2010.12.017

M3 - Journal article

AN - SCOPUS:80051782494

VL - 35

SP - 1557

EP - 1576

JO - Journal of Economic Dynamics and Control

JF - Journal of Economic Dynamics and Control

SN - 0165-1889

IS - 9

ER -