Long-run productivity risk: A new hope for production-based asset pricing?

• 成果类型: Article
• 署名作者: Croce, Mariano Massimiliano
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2014.04.001
• 发表日期: 2014
• 页码: 13-31
• 关键词: Production; Long-run risk; asset pricing; recursive utility

摘要

The examination of the intertemporal distribution of US productivity risk suggests that the conditional mean of productivity growth is an important determinant of macro quantities and asset prices. After establishing this empirical link, I rationalize it in a production economy featuring long-run productivity risk, Epstein and Zin (1989) preferences, and investment frictions. Both convex capital adjustment costs and convex reallocation costs across consumption and investment produce an annual equity premium as sizeable as in the data. (C) 2014 Elsevier B.V. All rights reserved.