Arbeitspapier
Risk premia in general equilibrium
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: CESifo Working Paper ; No. 3131
- Klassifikation
-
Wirtschaft
Macroeconomics: Consumption; Saving; Wealth
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
risk premium
continuous-time DSGE
Risikoprämie
Dynamisches Gleichgewicht
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Posch, Olaf
- Ereignis
-
Veröffentlichung
- (wer)
-
Center for Economic Studies and ifo Institute (CESifo)
- (wo)
-
Munich
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Posch, Olaf
- Center for Economic Studies and ifo Institute (CESifo)
Entstanden
- 2010
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