Risk Aversion Sensitive Real Business Cycles

• 成果类型: Article
• 署名作者: Chen, Zhanhui; Cooper, Ilan; Ehling, Paul; Xiouros, Costas
• 署名单位: Hong Kong University of Science & Technology; BI Norwegian Business School
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2019.3561
• 发表日期: 2021
• 页码: 2483-2499
• 关键词: state-contingent technology; time-varying risk aversion; conditional volatility of investment; predictability of returns

摘要

Technology choice allows for substitution of production across states of nature and depends on state-dependent risk aversion. In equilibrium, endogenous technology choice can counter a persistent negative productivity shock with an increase in investment. An increase in risk aversion intensifies transformation across states, which directly leads to higher investment volatility. In our model and the data, the conditional volatility of investment correlates negatively with the price-dividend ratio and predicts excess stock market returns. In addition, the same mechanism generates predictability of consumption growth and produces fluctuations in the risk-free rate.