How Much Would You Pay to Resolve Long-Run Risk?

Larry Epstein, Emmanuel Farhi and Tomasz Strzaleck

No WP2013-002, Boston University - Department of Economics - Working Papers Series from Boston University - Department of Economics

Abstract: Though risk aversion and the elasticity of intertemporal substitution have been the subjects of careful scrutiny when calibrating preferences, 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 speci ca- tions. Recursive utility implies that the temporal resolution of risk matters and a quantitative assessment of how much it matters 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.

Pages: 23 pages
Date: 2013-02
New Economics Papers: this item is included in nep-rmg and nep-upt
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: How Much Would You Pay to Resolve Long-Run Risk? (2014)
Working Paper: How Much Would You Pay to Resolve Long-Run Risk? (2014)
Working Paper: How much would you pay to resolve long-run risk? (2014)
Working Paper: How Much Would You Pay to Resolve Long-Run Risk? (2013)
Working Paper: How Much Would You Pay to Resolve Long-Run Risk? (2013)
Working Paper: How Much Would You Pay To Resolve Long-Run Risk?
Working Paper: How Much Would You Pay to Resolve Long-Run Risk?
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