Long-Run Risk through Consumption Smoothing

• 成果类型: Article
• 署名作者: Kaltenbrunner, Georg; Lochstoer, Lars A.
• 署名单位: McKinsey & Company
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhq033
• 发表日期: 2010
• 页码: 3190
• 关键词: ASSET RETURNS; temporal behavior; equity premium; substitution; persistence; aversion; GROWTH

摘要

We examine how long-run consumption risk arises endogenously in a standard production economy model where the representative agent has Epstein-Zin preferences. We show that even when technology growth is i.i.d., optimal consumption smoothing induces long-run risk-highly persistent variation in expected consumption growth. As a consequence, the model can account for a high price of risk, although both consumption growth volatility and the coefficient of relative risk aversion are low. The asset pricing implications of endogenous long-run risk depend crucially on the persistence of technology shocks and investors' preference for the timing of resolution of uncertainty. (JEL E21, E23, E30, G12)