How much would you pay to resolve long-run risk?

Tomasz Strzalecki, Emmanuel Farhi and Larry Epstein

No 429, 2014 Meeting Papers from Society for Economic Dynamics

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 specifications. 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.

Date: 2014
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Citations: View citations in EconPapers (115)

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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? (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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