WebCiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): This paper considers the business cycle, asset pricing, and welfare effects of increased risk …
Risk-sensitive real business cycles☆ - Semantic Scholar
WebSep 23, 2001 · I show that increasing risk aversion does not significantly affect the relative variabilities and co-movements of aggregate quantity variables. At the same time, it dramatically improves the model's asset market predictions. The welfare costs of business cycles increase when preference parameters are chosen to match financial data. WebJun 1, 2000 · Risk Aversion Sensitive Real Business Cycles. Manag. Sci. In this model and the data, the conditional volatility of investment correlates negatively with the price … f1 2016 trackir 5
Risk Aversion Sensitive Real Business Cycles - Handelshøyskolen BI
WebRisk Aversion Sensitive Real Business Cycles Zhanhui Cheny NTU Ilan Cooperz BI Paul Ehlingx BI Costas Xiouros{BI Current Draft: January 2024 Abstract We study technology … WebJun 1, 2000 · Risk Aversion Sensitive Real Business Cycles. Manag. Sci. In this model and the data, the conditional volatility of investment correlates negatively with the price-dividend ratio and predicts excess stock market returns and the same mechanism generates predictability of consumption growth and produces fluctuations in the risk-free rate. WebReturns are measured in percent per quarter - "Risk-sensitive real business cycles☆" Table 1 Asset market data. Sample moments from quarterly U.S. data. 1948:2}1993:4. r% is the return on the value-weighted NYSE portfolio and r& is … f1 2016 tyre wear glitch