Term Structure of Risk on Macrofinance Models

Irina Zviadadze

No 965, 2017 Meeting Papers from Society for Economic Dynamics

Abstract: I propose a model-based approach to characterize the term structures of risk in cash flows and asset prices. I relax cross-equation restrictions in structural models and estimate the implied dynamics of macro fundamentals and asset prices. I use shock elasticities to characterize how risk propagates in asset prices. To account for time variation in the risk premium, I extend the theory of dynamic value decomposition (Hansen, 2012) to nonnormal shocks. I find that the leading models of time-varying risk premium fall short to account for the shape and level of the term structure of risk in equity returns and cash flows.

Date: 2017
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://red-files-public.s3.amazonaws.com/meetpapers/2017/paper_965.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:red:sed017:965

Access Statistics for this paper

More papers in 2017 Meeting Papers from Society for Economic Dynamics Society for Economic Dynamics Marina Azzimonti Department of Economics Stonybrook University 10 Nicolls Road Stonybrook NY 11790 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christian Zimmermann ().