Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth

By Fernando Alvarez, Urban Jermann. 2005

302 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7cb1f9313889d24dca3b8766589c965c5c7d6078

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Citations in the corpus

Can the Covid Bailouts Save the Economy? (2020, unknown): “of welfare based on compensating variation similar to Alvarez and Jermann (2005). Consider the equilibrium of two different economies k = 0, 1, characterized by policy vectors Θ and Θ(1), and denote expected lifetime utility at time 0 for agent j in economy k by V̄ j,k = E0[V j 1 (·; Θ)].”
Asset pricing tests with long run risks in consumption growth (2011, unknown): “1 For further references, see Alvarez and Jermann (2005), Bansal, Dittmar, and Kiku (2009), Bansal, Gallant, and Tauchen (2007), Bansal, Kiku, and Yaron (2010), Bansal and Shaliastovich (2010), Beeler and Campbell (2011), Bekaert, Engstrom, and Xing (2009), Chen, Favilukis, and Ludvigson (2011), Col”
Nonparametric stochastic discount factor decomposition (2014, methodology): “We follow Alvarez and Jermann (2005) and Backus et al. (2014) and assume a stationary environment whereas Hansen and Scheinkman (2009) allow for possibly non-stationary environments.”
Risk Preferences and the Macroeconomic Announcement Premium (2018, background): “Quantitatively, our findings are consistent with the literature that identifies large variations in marginal utilities from the asset market data (see, e.g., Hansen and Jagannathan (1991), Bansal and Lehmann (1997), and Alvarez and Jermann (2004, 2005)).”
Recovery with Unbounded Diffusion Processes (2017, unknown): “Finally, the recovery problem is related to the literature that uses Perron–Frobenius theory to study the general link between long-term growth and asset prices under very general conditions, see Alvarez and Jerman (2005), Hansen and Scheinkman (2009), Hansen (2012), and Hansen and Scheinkman (2013)”
Disasters Implied by Equity Index Options (2011, methodology): “We use a similar " entropy bound " derived by Alvarez and Jermann (2005) and Bansal and Lehman (1997).”
Long‐Term Risk: An Operator Approach (2006, background): “As featured by Alvarez and Jermann (2005) , this stochastic”
Long Term Risk: A Martingale Approach (2014, unknown): “Abstract This paper extends the long-term factorization of the pricing kernel due to Alvarez and Jermann (2005) in discrete time ergodic environments and Hansen and Scheinkman (2009) in continuous ergodic Markovian environments to general semimartingale environments, without assuming the Markov prop”
On the Timing and Pricing of Dividends (2011, unknown): “Alvarez and Jermann (2005) for instance show that the ratio of the variance of the permanent component to the overall variance is equal to one minus the ratio of the long-term bond risk premium to the maximum risk premium across all securities.”
Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors (2012, unknown): “The L-measure-based bounds framework in Alvarez and Jermann (2005) is intended specifically for a longterm discount bond, a risk-free bond, and a single equity portfolio, whereas Eq.”
Risks for the Long Run: Estimation with Time Aggregation (2012, background): “…component in the stochastic discount factor (e.g., Bansal and Lehman, 1997; Alvarez and Jermann, 2005; Hansen and Scheinkman, 2009; Bansal et al., 2010; Alvarez and Jermann, 2005) show that to account for the dynamics of asset prices, the permanent component of marginal utility has to be large.”
Asset Pricing in the Frequency Domain: Theory and Empirics (2016, background): “Finally, our work is related to other important decompositions of the stochastic discount factor (SDF), most notably Alvarez and Jermann (2005), Hansen and Scheinkman (2009), and Borovicka et al. (2011).”