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dc.contributor.authorPosch, Olafen
dc.date.accessioned2010-08-16-
dc.date.accessioned2010-08-18T11:19:32Z-
dc.date.available2010-08-18T11:19:32Z-
dc.date.issued2010-
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
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x3131en
dc.subject.jelE21en
dc.subject.jelG12en
dc.subject.ddc330en
dc.subject.keywordrisk premiumen
dc.subject.keywordcontinuous-time DSGEen
dc.subject.stwRisikoprämieen
dc.subject.stwDynamisches Gleichgewichten
dc.subject.stwTheorieen
dc.titleRisk premia in general equilibrium-
dc.typeWorking Paperen
dc.identifier.ppn633111856en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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