Time-varying risk aversion and unexpected inflation

• 成果类型: Article
• 署名作者: Brandt, MW; Wang, KQ
• 署名单位: Duke University; National Bureau of Economic Research; University of Toronto
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2003.08.001
• 发表日期: 2003
• 页码: 1457-1498
• 关键词: time-varying risk aversion; unexpected inflation; term structure of interest rates; crosssection of stock returns; proxy hypothesis

摘要

We formulate a consumption-based asset pricing model in which aggregate risk aversion is time-varying in response to both news about consumption growth (as in a habit formation model) and news about inflation. We estimate our model and explore its pricing implications for the term structure of interest rates and the cross-section of stock returns. Our empirical results support the hypothesis that aggregate risk aversion varies in response to news about inflation. The induced time-variation in risk aversion does not appear to proxy for inflation uncertainty or economic growth. (C) 2003 Elsevier B.V. All rights reserved.