The implications of first-order risk aversion for asset market risk premiums

• 成果类型: Article
• 署名作者: Bekaert, G; Hodrick, RJ; Marshall, DA
• 署名单位: Columbia University; Stanford University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Chicago
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(97)00037-8
• 发表日期: 1997
• 页码: 3-39
• 关键词: first-order risk aversion; asset prices; Exchange rates; general equilibrium

摘要

In an effort to explain simultaneously the excess return predictability observed in equity, bond and foreign exchange markets, we incorporate preferences exhibiting first-order risk aversion into a general equilibrium two-country monetary model. When we calibrate the model to US and Japanese data, we find that first-order risk aversion substantially increases excess return predictability. However, this increased predictability is insufficient to match the data. We conclude that the observed patterns of excess return predictability are unlikely to be explained purely by time-varying risk premiums generated by highly risk averse agents in a complete markets economy.