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 |
---|---|---|---|
|
text/plain | 2.7 KB | 10/11/2019 06:48:PM |
|
text/plain | 1.6 KB | 10/11/2019 06:48:PM |
|
text/plain | 1.5 KB | 10/11/2019 06:48:PM |
|
text/plain | 326 bytes | 10/11/2019 06:48:PM |
|
application/pdf | 39.1 KB | 10/11/2019 06:48:PM |
|
text/plain | 3.8 KB | 10/11/2019 06:48:PM |
|
text/plain | 6.4 KB | 10/11/2019 06:48:PM |
|
text/plain | 8.2 KB | 10/11/2019 06:48:PM |
|
text/plain | 186 bytes | 10/11/2019 06:48:PM |
Project Description
Summary:
View help for Summary
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:
View help for JEL Classification
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
Related Publications
Published Versions
Report a Problem
Found a serious problem with the data, such as disclosure risk or copyrighted content? Let us know.
This material is distributed exactly as it arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.