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

Larry Epstein, Emmanuel Farhi and Tomasz Strzalecki

Scholarly Articles from Harvard University Department of Economics

Abstract: 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.

Date: 2014
New Economics Papers: this item is included in nep-upt
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Citations: View citations in EconPapers (113)

Published in American Economic Review

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http://dash.harvard.edu/bitstream/handle/1/12967842/premium57-final_0%20(2).pdf (application/pdf)

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? (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? (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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