Intertemporal Substitution and Risk Aversion

By Lars Peter Hansen, J. Heaton, Jung‐Hoon Lee, Nikolai L. Roussanov. 2007

121 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/79bf6467171af22397785d306c58347718be9862

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Citations in the corpus

An Intertemporal CAPM with Stochastic Volatility (2018, background): “Garcia et al. (2006) and Hansen et al. (2007) , however, point out that this interpretation perhaps is not correct when γ differs from the reciprocal of ψ . value function ceases to exist.”
Trend and Cycle in Bond Premia (2009, unknown): “Trend and Cycle in Bond Premia Monika Piazzesi Stanford & NBER Martin Schneider Stanford & NBER Minneapolis , October 10 2008”
The Wealth-Consumption Ratio (2008, unknown): “This estimate is consistent with Jorgenson and Fraumeni (1989), whose calculations also suggest a 90% human wealth share.”
Higher-order effects in asset-pricing models with long-run risks (2018, unknown): “18Another approach, proposed by Kogan and Uppal (2001) and used in Hansen et al. (2007) and Hansen, Heaton, and Li (2008), is to linearize around the special case of unit elasticity of substitution ψ = 1, where the wealth– consumption ratio is constant.”
Risk Price Dynamics (2009, unknown): “In regard to empirical implications, Bansal and Lehmann (1997), Alvarez and Jermann (2005), and Koijen et al. (2009) use the holding period return on long-term bonds and the maximal growth portfolio to gain information about the one-period stochastic discount factor in a discrete-time asset pricing ”
An Empirical Evaluation of the Long-Run Risks Model for Asset Prices (2009, background): “A large number of papers (Hansen and Singleton, 1982; Attanasio and Weber, 1989; Beaudry and van Wincoop, 1996; Vissing-Jorgensen, 2002; Attanasio and Vissing-Jorgensen, 2003; Mulligan, 2004; Gruber, 2006; Guvenen, 2006; Hansen et al., 2007; Engelhardt and Kumar, 2008; Barro, 2009), show that the IE”
Consumption Strikes Back? Measuring Long‐Run Risk (2008, unknown): “Since we are using a re- cursive specification with two CES components, it is straightforward to show that the implied stochastic discount factor is r g rC Vt 1 t 1S p bt 1,t ( ) [ ]C R (V )t t t 1 (see, e.g., Hansen et al. 2007).”
Shock elasticities and impulse responses (2014, methodology): “We adopt the parameterization from Hansen et al. (2007) used in Borovička et al. (2011) and summarized in the caption of Figure 1.”
An Estimation of Economic Models with Recursive (2007, unknown): “…implies that the consumption–wealth ratio is constant, contradicting statistical evidence that it varies over time.3 Moreover, even first-order expansions of the EZW model around an EIS of unity may not capture the magnitude of variability of the consumption–wealth ratio (Hansen et al. (2007)).”