The Importance of Timing Attitudes in Consumption-Based Asset Pricing Models

• 成果类型: Article
• 署名作者: Andreasen, Martin M.; Jorgensen, Kasper
• 署名单位: Aarhus University; CREATES; Danish Finance Institute; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.01.008
• 发表日期: 2020
• 页码: 95-117
• 关键词: Bond premium puzzle; equity premium puzzle; Early resolution of uncertainty; Long-run risk

摘要

A new utility kernel for Epstein-Zin-Weil preferences is proposed to disentangle the intertemporal elasticity of substitution (IES), the relative risk aversion (RRA), and the timing attitude. These new preferences resolve two puzzles in the long-run risk model, where consumption growth is too strongly correlated with the price-dividend ratio and the risk-free rate. The proposed preferences also enable a New Keynesian model to match equity and bond premia with a low RRA of 5. Importantly, the mechanism enabling Epstein-Zin-Weil preferences to explain asset prices in these models is not to separate the IES from RRA, but to introduce a strong timing attitude. (C) 2019 Elsevier B.V. All rights reserved.