Risk Aversion Sensitive Real Business Cycles

Published Online:https://doi.org/10.1287/mnsc.2019.3561

References

  • Ai H , Croce MM , Li K (2013) Toward a quantitative general equilibrium asset pricing model with intangible capital. Rev. Financial Stud. 26(2):491–530.CrossrefGoogle Scholar
  • Backus DK , Routledge BR , Zin SE (2013) Who holds risky assets? Working paper, New York University, New York.Google Scholar
  • Bansal R , Yaron A (2004) Risks for the long run: A potential resolution of asset pricing puzzles. J. Finance 59(4):1481–1509.CrossrefGoogle Scholar
  • Belo F (2010) Production-based measures of risk for asset pricing. J. Monetary Econom. 57(2):146–163.CrossrefGoogle Scholar
  • Belo F , Lin X , Bazdresch S (2014) Labor hiring, investment, and stock return predictability in the cross section. J. Political Econom. 122(1):129–177.CrossrefGoogle Scholar
  • Boldrin M , Christiano LJ , Fisher JDM (2001) Habit persistence, asset returns, and the business cycle. Amer. Econom. Rev. 91(1):149–166.CrossrefGoogle Scholar
  • Boudoukh J , Michaely R , Richardson M , Roberts MR (2007) On the importance of measuring payout yield: Implications for empirical asset pricing. J. Finance 62(2):877–915.CrossrefGoogle Scholar
  • Bretscher L , Hsu A , Tamoni A (2018) Risk aversion and the response of the macroeconomy to uncertainty shocks. Working paper, London School of Economics and Political Science, London.Google Scholar
  • Burnside C , Eichenbaum M (1996) Factor-hoarding and the propagation of business-cycle shocks. Amer. Econom. Rev . 86(5):1154–1174.Google Scholar
  • Campbell JY , Cochrane JH (1999) By force of habit: A consumption-based explanation of aggregate stock market behavior. J. Political Econom. 107(2):205–251.CrossrefGoogle Scholar
  • Chan YL , Kogan L (2002) Catching up with the joneses: Heterogeneous preferences and the dynamics of asset prices. J. Political Econom. 110(6):1255–1285.CrossrefGoogle Scholar
  • Chen Z (2016) Time-to-produce, inventory, and asset prices. J. Financial Econom. 120(2):330–345.CrossrefGoogle Scholar
  • Cochrane JH (1988) Production-based asset pricing. NBER Working Paper No. 2776, National Bureau of Economic Research, Cambridge, MA.Google Scholar
  • Cochrane JH (1993) Rethinking production under uncertainty. Working paper, University of Chicago, Chicago.Google Scholar
  • Cochrane JH (2008) Financial markets and the real economy. Mehra R , ed. Handbook of the Equity Risk Premium (Elsevier Science, Amsterdam), 237–325.CrossrefGoogle Scholar
  • Croce MM (2014) Long-run productivity risk: A new hope for production-based asset pricing? J. Monetary Econom. 66:13–81.CrossrefGoogle Scholar
  • Dew-Becker I (2014) A model of time-varying risk premia with habits and production. Working paper, Duke University, Durham, NC.Google Scholar
  • Ehling P , Heyerdahl-Larsen C (2017) Correlations. Management Sci. 63(6):1919–1937.LinkGoogle Scholar
  • Epstein L , Zin SE (1991) Substitution, risk aversion, and the temporal behavior of consumption and asset returns: An empirical analysis. J. Political Econom. 99:263–286.CrossrefGoogle Scholar
  • Epstein L , Zin SE (1989) Substitution, risk aversion, and the temporal behavior of consumption and asset returns: A theoretical framework. Econometrica 57(4):937–969.CrossrefGoogle Scholar
  • Gârleanu NB , Panageas S , Yu J (2012) Technological growth and asset pricing. J. Finance 67(4):1265–1292.CrossrefGoogle Scholar
  • Jermann UJ (1998) Asset pricing in production economies. J. Monetary Econom. 41(2):257–275.CrossrefGoogle Scholar
  • Jermann UJ (2010) The equity premium implied by production. J. Financial Econom. 98(2):279–296.Google Scholar
  • Kaltenbrunner G , Lochstoer LA (2010) Long-run risk through consumption smoothing. Rev. Financial Stud. 23(8):3141–3189.CrossrefGoogle Scholar
  • Kreps DM , Porteus EL (1978) Temporal resolution of uncertainty and dynamic choice theory. Econometrica 46(1):185–200.CrossrefGoogle Scholar
  • Kung H (2015) Macroeconomic linkages between monetary policy and the term structure of interest rates. J. Financial Econom. 115(1):42–57.CrossrefGoogle Scholar
  • Kung H , Schmid L (2015) Innovation, growth and asset prices. J. Finance 70(3):1001–1037.Google Scholar
  • Melino A , Yang AX (2003) State-dependent preferences can explain the equity premium puzzle. Rev. Econom. Dynamics 6(4):806–830.CrossrefGoogle Scholar
  • Mills DE , Schumann L (1985) Industry structure with fluctuating demand. Amer. Econom. Rev. 75(4):758–767.Google Scholar
  • Newey WK , West KD (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55(3):703–708.CrossrefGoogle Scholar
  • Papanikolaou D (2011) Investment shocks and asset prices. J. Political Econom. 119(4):639–685.CrossrefGoogle Scholar
  • Restoy F , Rockinger GM (1994) On stock market returns and returns on investment. J. Finance 49(2):543–556.CrossrefGoogle Scholar
  • Tallarini TD Jr (2000) Risk-sensitive real business cycles. J. Monetary Econom. 45(3):507–532.CrossrefGoogle Scholar
  • Weil P (1989) The equity premium puzzle and the risk-free rate puzzle. J. Monetary Econom. 24(3):401–421.CrossrefGoogle Scholar
  • Xiouros C , Zapatero F (2010) The representative agent of an economy with external habit formation and heterogeneous risk aversion. Rev. Financial Stud. 23(8):3017–3047.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.