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

DOI10.1017/S1365100511000381zbMATH Open1272.91063OpenAlexW3124011426MaRDI QIDQ2843373FDOQ2843373

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

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zbMATH Keywords

risk premiumhabitscountercyclicalitymacrofinance

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Asset Prices in an Exchange Economy
• 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
• Asset pricing implications of a New Keynesian model
• Predictability and habit persistence

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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