Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets

Konferenzbeitrag

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2017: Alternative Geld- und Finanzarchitekturen - Session: Applied Macroeconometrics ; No. A06-V2

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Information, Knowledge, and Uncertainty: General ; Interest Rates: Determination, Term Structure, and Effects ; Financial Crises ; National Debt; Debt Management; Sovereign Debt

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Grosse Steffen, Christoph ; Podstawski, Maximilian
• Event: Veröffentlichung
• (who): ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft
• (where): Kiel, Hamburg
• (when): 2017

Further information

• Handle: http://hdl.handle.net/10419/168101
• Last update: 10.03.2025, 11:42 AM CET