Growth risks, asset prices, and welfare

被引：2
|
作者：
Croce, Mariano M. [1 ,2 ,3 ]
机构：
[1] Bocconi Univ, Milan, Italy
[2] CEPR, London, England
[3] IGIER, Milan, Italy
来源：
ECONOMICS LETTERS | 2021年 / 202卷
关键词：
Welfare costs; Long-run risk; Asset pricing; Recursive utility;
D O I：
10.1016/j.econlet.2021.109817
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
I connect interest rates, risk premia and welfare costs of long-run consumption uncertainty in a setting with Epstein and Zin (1989) preferences. I find that long-run uncertainty can create significant welfare costs even when risk aversion is moderate and the short-run consumption volatility low. I document that the risk-free rate puzzle is a key determinant of the welfare costs. (c) 2021 Elsevier B.V. All rights reserved.
引用
收藏
页数：6
相关论文
共 50 条
  • [1] Innovation dynamics and fiscal policy: Implications for growth, asset prices, and welfare
    Donadelli, Michael
    Gruning, Patrick
    NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2021, 57
  • [2] Market liquidity, asset prices, and welfare
    Huang, Jennifer
    Wang, Jiang
    JOURNAL OF FINANCIAL ECONOMICS, 2010, 95 (01) : 107 - 127
  • [3] Money and asset prices with uninsurable risks
    Jacquet, Nicolas L.
    Tan, Serene
    JOURNAL OF MONETARY ECONOMICS, 2012, 59 (08) : 784 - 797
  • [4] Macroeconomic Tail Risks and Asset Prices
    Schreindorfer, David
    REVIEW OF FINANCIAL STUDIES, 2020, 33 (08): : 3541 - 3582
  • [5] Global risks, the macroeconomy, and asset prices
    Michele Costola
    Michael Donadelli
    Luca Gerotto
    Ivan Gufler
    Empirical Economics, 2022, 63 : 2357 - 2388
  • [6] Dependent background risks and asset prices
    Osaki, Yusuke
    ECONOMICS BULLETIN, 2005, 4
  • [7] Global risks, the macroeconomy, and asset prices
    Costola, Michele
    Donadelli, Michael
    Gerotto, Luca
    Gufler, Ivan
    EMPIRICAL ECONOMICS, 2022, 63 (05) : 2357 - 2388
  • [8] Rare Disasters, Asset Prices, and Welfare Costs
    Barro, Robert J.
    AMERICAN ECONOMIC REVIEW, 2009, 99 (01): : 243 - 264
  • [9] Long Run Risks, the Macroeconomy, and Asset Prices
    Bansal, Ravi
    Kiku, Dana
    Yaron, Amir
    AMERICAN ECONOMIC REVIEW, 2010, 100 (02): : 542 - 546
  • [10] Shadow banks, leverage risks, and asset prices
    Feng, Xu
    Lu, Lei
    Xiao, Yajun
    JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2020, 111
12345