Risk preferences in multi-period consumption models, the equity premium puzzle, and habit formation utility
Article Abstract:
A study of multi-period consumption model is presented. The study also assesses the risk aversion properties of the utility function for consumption and the value function of wealth. In this context, habit formation , and equity premium puzzle, are also discussed.
Publication Name: Journal of Monetary Economics
Subject: Economics
ISSN: 0304-3932
Year: 2005
User Contributions:
Comment about this article or add new information about this topic:
Consumption and risk sharing over the life cycle
Article Abstract:
Earnings inequality is exogenous and is calibrated to match data from the U.S panel study on Income Dynamics. A general equilibrium overlapping generations model is used in which households face earnings shocks over the course of their lifetime.
Publication Name: Journal of Monetary Economics
Subject: Economics
ISSN: 0304-3932
Year: 2004
User Contributions:
Comment about this article or add new information about this topic:
Consumption, the persistence of shocks, and asset price volatility
Article Abstract:
The role of permanent and transitory components of consumption in explaining equity premium and unpredictability of asset returns is analyzed.
Publication Name: Journal of Monetary Economics
Subject: Economics
ISSN: 0304-3932
Year: 2006
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: On the fluctuations in consumption and market returns in the presence of labor and human capital: an equilibrium analysis
- Abstracts: The cyclical properties of consumption growth and the real terms structure. The aggregate effects of sectoral reallocations
- Abstracts: Financial market frictions, monetary policy, and capital accumulation in a small open economy. Monetary stability and liquidity crises: The role of the lender of last resort
- Abstracts: Consumer confidence and consumer spending. Consumer over-indebtedness in the EU: measurement and characteristics
- Abstracts: Distance and prediction error variance constraints for ARMA model portfolios. Recursive modelling of symmetric and asymmetric volatility in the presence of extreme observations