Why do risk premia vary over time? a theoretical investigation under habit formation

DOI10.1017/S1365100511000381MaRDI QIDQ2843373zbMATH OpenOpenAlexFDO

Authors Bianca De Paoli, Pawel Zabczyk

Publication date 22 August 2013

Published in Macroeconomic Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s1365100511000381

zbMATH Keywords

risk premiumhabitscountercyclicalitymacrofinance

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Credit risk (91G40)

Recommendations

• Risk premia in general equilibrium
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Cites work

• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• Asset Prices in an Exchange Economy
• Asset pricing implications of a New Keynesian model
• Predictability and habit persistence
• Solving dynamic general equilibrium models using a second-order approximation to the policy function
• The term structure of interest rates in real and monetary economies

Cited in

(6)

• Risk sharing and counter-cyclical variation in market correlations
• Asymmetries in risk premia, macroeconomic uncertainty and business cycles
• Risk premiums and macroeconomic dynamics in a heterogeneous agent model
• Bubbles, shocks and elementary technical trading strategies
• Risk premia in general equilibrium
• Habit formation and the equity-premium puzzle: a skeptical view

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