|
EconStor >
ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/39010
|
| | |
Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Posch, Olaf | | en_US |
| dc.date.accessioned | | 2010-08-16 | | en_US |
| dc.date.accessioned | | 2010-08-18T11:19:32Z | | - |
| dc.date.available | | 2010-08-18T11:19:32Z | | - |
| dc.date.issued | | 2010 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/39010 | | - |
| dc.description.abstract | | This paper shows that non-linearities imposed by a neoclassical production function alone can generate time-varying and asymmetric risk premia over the business cycle. These (empirical) key features become relevant, and asset market implications improve substantially when we allow for non-normalities in the form of rare disasters. We employ analytical solutions of dynamic stochastic general equilibrium models, including a novel solution with endogenous labor supply, to obtain closed-form expressions for the risk premium in production economies. In contrast to endowment economies, the curvature of the policy functions affects the risk premium through controlling the individual's effective risk aversion. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | CESifo München | | en_US |
| dc.relation.ispartofseries | | CESifo working paper Fiscal Policy, Macroeconomics and Growth 3131 | | en_US |
| dc.subject.jel | | E21 | | en_US |
| dc.subject.jel | | G12 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | risk premium | | en_US |
| dc.subject.keyword | | continuous-time DSGE | | en_US |
| dc.subject.stw | | Risikoprämie | | en_US |
| dc.subject.stw | | Dynamisches Gleichgewicht | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Risk premia in general equilibrium | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 633111856 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | CESifo Working Papers, CESifo Group Munich
|
| Files in This Item:
| |
|
| No. of Downloads:
| |
| last Month |
last 3 Month |
total |
|
|
|
|
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|