Replication data for: How Much Would You Pay to Resolve Long-Run Risk?
Principal Investigator(s): View help for Principal Investigator(s) Larry G. Epstein; Emmanuel Farhi; Tomasz Strzalecki
Version: View help for Version V1
| Name | File Type | Size | Last Modified |
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| 2013-1014_code | 10/11/2019 10:48:PM | ||
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text/plain | 14.6 KB | 10/11/2019 06:48:PM |
Project Citation:
Epstein, Larry G., Farhi, Emmanuel, and Strzalecki, Tomasz. Replication data for: How Much Would You Pay to Resolve Long-Run Risk? Nashville, TN: American Economic Association [publisher], 2014. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-11. https://doi.org/10.3886/E112851V1
Project Description
Summary:
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Though risk aversion and the elasticity of intertemporal substitution have been the subjects of careful scrutiny, the long-run risks literature as well as the broader literature using recursive utility to address asset pricing puzzles have ignored the full implications of their parameter specifications. Recursive utility implies that the temporal resolution of risk matters and a quantitative assessment thereof should be part of the calibration process. This paper gives a sense of the magnitudes of implied timing premia. Its objective is to inject temporal resolution of risk into the discussion of the quantitative properties of long-run risks and related models.
Scope of Project
JEL Classification:
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D81 Criteria for Decision-Making under Risk and Uncertainty
G11 Portfolio Choice; Investment Decisions
G12 Asset Pricing; Trading Volume; Bond Interest Rates
D81 Criteria for Decision-Making under Risk and Uncertainty
G11 Portfolio Choice; Investment Decisions
G12 Asset Pricing; Trading Volume; Bond Interest Rates
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