The price augmented risk premium, theory and application

Marco Ercolani

Economics Discussion Papers from University of Essex, Department of Economics

Abstract: This note proposes the Price Augmented Risk Premium (PARP), a decomposition of the multivariage risk premium associated with price and income uncertainty. The PARP is used to measure the likely impact on welfare arising from price fluctuations experienced by UK households over the period 1963-97.

Keywords: multivariate risk premium; uncertainty; welfare. (search for similar items in EconPapers)
Date: 2000
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