Consumption Strikes Back? Measuring Long‐Run Risk

By Lars Peter Hansen, J. Heaton, Nan Li. Journal of Political Economy, 2008

597 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6b107c74d58a397da3aff81b82441ca8c9b82ebc

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Citations in the corpus

How Much Would You Pay to Resolve Long-Run Risk? (2014, unknown): “For elaboration and many additional references see Bansal (2007), Piazzesi and Schneider (2007), Hansen, Heaton, and Li (2008), Colacito and Croce (2011) and Chen (2010). consumption path is in the CES class with the elasticity of intertemporal substitution EIS = 1 1− ρ .”
Measuring Uncertainty about Long-Run Predictions (2016, background): “…contributors to overall long-run GDP growth uncertainty.15 Another application would be the joint uncertainty about long-run stock returns and consumption, which features prominently in asset pricing models that focus on long-run risk (Bansal and Yaron (2004) and Hansen, Heaton, and Li (2008)).”
Long-Run Stockholder Consumption Risk and Asset Returns (2009, background): “Recent studies find success using long-run aggregate consumption risk to capture cross-sectional and aggregate stock returns (Parker (2001), Bansal and Yaron (2004), Parker and Julliard (2005), Bansal, Dittmar, and Lundblad (2005), Hansen, Heaton, and Li (2008)).1 The empirical success of long-run c”
Asset Prices with Heterogeneity in Preferences and Beliefs (2014, unknown): “This effect is similar to the premium (“bubble”) in asset prices that has been studied in Harrison and Kreps (1978) and Scheinkman and Xiong (2003) for the case of risk neutrality (γ = 0) in the presence of shortsale constraints; over here, we get a similar effect for agents who are risk averse with”
Risks for the Long Run: Estimation with Time Aggregation (2012, background): “Giovannini and Weil (1989), Tallarini (2000), Hansen et al. (2008), and Hansen and Sargent (2010) consider a special case where the IES parameter is one.”
Ambiguity, Learning, and Asset Returns (2009, background): “See Anderson et al. (2003), Cagetti, et al. (2002), Hansen and Sargent (2001), Hansen et al. (1999), Liu et al. (2005), Maenhout (2004), and Uppal and Wang (2003) for models of robustness and applications.”
Who Are the Value and Growth Investors (2017, unknown): “…as recession risk (Cochrane 1999, Jagannathan and Wang 1996), cash-flow risk (Campbell and Vuolteenaho 2004, Campbell, Polk, and Vuolteenaho 2010), long-run consumption risk (Hansen, Heaton, and Li 2008), or the costly reversibility of physical capital and countercyclical risk premia (Zhang 2005).”