How Much Would You Pay to Resolve Long-Run Risk?

• 成果类型: Article
• 署名作者: Epstein, Larry G.; Farhi, Emmanuel; Strzalecki, Tomasz
• 署名单位: Boston University; Harvard University; National Bureau of Economic Research
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.104.9.2680
• 发表日期: 2014
• 页码: 2680-2697
• 关键词: GENERALIZED DISAPPOINTMENT AVERSION; expected-utility-theory; asset prices; rare disasters; equity premium; consumption; RESOLUTION; preferences; returns; substitution

摘要

Though risk aversion and the elasticity of intertemporal substitution have been the subjects of careful scrutiny, the long-run risks literature as well as the broader literature using recursive utility to address asset pricing puzzles has ignored the full implications of their parameter specifications. Recursive utility implies that the temporal resolution of risk matters and a quantitative assessment thereof should be part of the calibration process. This paper gives a sense of the magnitudes of implied timing premia. Its objective is to inject temporal resolution of risk into the discussion of the quantitative properties of long-run risks and related models.