Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/168101
Authors: 
Grosse Steffen, Christoph
Podstawski, Maximilian
Year of Publication: 
2017
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2017: Alternative Geld- und Finanzarchitekturen - Session: Applied Macroeconometrics A06-V2
Abstract: 
This paper introduces changes in the level of ambiguity as a complementary source of time-varying risk aversion. We show in a consumption-based asset pricing model with simultaneously risky and ambiguous assets that a rise in the level of ambiguity raises investors' risk aversion. The effect is quantified in an application to European sovereign debt markets using a structural VAR to achieve identification in the data.
JEL: 
C32
D80
E43
G01
H63
Document Type: 
Conference Paper

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