Asset Pricing in a Production Economy with Chew–Dekel Preferences
dc.contributor.author | Castro, Rui | |
dc.contributor.author | CAMPANALE, Claudio | |
dc.contributor.author | Clementi, Gian Luca | |
dc.date.accessioned | 2010-07-29T16:17:13Z | |
dc.date.available | 2010-07-29T16:17:13Z | |
dc.date.issued | 2009-05 | |
dc.identifier.uri | http://hdl.handle.net/1866/3994 | |
dc.publisher | Université de Montréal. Département de sciences économiques. | fr |
dc.subject | Disappointment Aversion | en |
dc.subject | Epstein–Zin | en |
dc.subject | Market Price of Risk | en |
dc.subject | Equity Premium | en |
dc.subject | Business Cycle | en |
dc.subject | JEL Codes: D81, E32, E43, E44, G12 | en |
dc.title | Asset Pricing in a Production Economy with Chew–Dekel Preferences | en |
dc.type | Article | en |
dc.contributor.affiliation | Université de Montréal. Faculté des arts et des sciences. Département de sciences économiques | |
dcterms.abstract | In this paper we provide a thorough characterization of the asset returns implied by a simple general equilibrium production economy with Chew–Dekel risk preferences and convex capital adjustment costs. When households display levels of disappointment aversion consistent with the experimental evidence, a version of the model parameterized to match the volatility of output and consumption growth generates unconditional expected asset returns and price of risk in line with the historical data. For the model with Epstein–Zin preferences to generate similar statistics, the relative risk aversion coefficient needs to be about 55, two orders of magnitude higher than the available estimates. We argue that this is not surprising, given the limited risk imposed on agents by a reasonably calibrated stochastic growth model. | en |
dcterms.isPartOf | urn:ISSN:0709-9231 | |
dcterms.language | eng | en |
UdeM.VersionRioxx | Version publiée / Version of Record | |
oaire.citationTitle | Cahier de recherche | |
oaire.citationIssue | 2009-09 |
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