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dc.contributor.authorPosch, Olafen_US
dc.date.accessioned2010-08-16en_US
dc.date.accessioned2010-08-18T11:19:32Z-
dc.date.available2010-08-18T11:19:32Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/39010-
dc.description.abstractThis 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.isoengen_US
dc.publisherCESifo Münchenen_US
dc.relation.ispartofseriesCESifo working paper Fiscal Policy, Macroeconomics and Growth 3131en_US
dc.subject.jelE21en_US
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keywordrisk premiumen_US
dc.subject.keywordcontinuous-time DSGEen_US
dc.subject.stwRisikoprämieen_US
dc.subject.stwDynamisches Gleichgewichten_US
dc.subject.stwTheorieen_US
dc.titleRisk premia in general equilibriumen_US
dc.typeWorking Paperen_US
dc.identifier.ppn633111856en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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