An Empirical Evaluation of the Long-Run Risks Model for Asset Prices

By Ravi Bansal, Dana Kiku, Amir Yaron. 2009

483 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f694b123bc94f3b9ba83ed1228dc238bcf54b911

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Citations in the corpus

Bond Market Exposures to Macroeconomic and Monetary Policy Risks (2017, unknown): “…voluminous literature in macro and finance that highlights the importance of volatility for understanding the macroeconomy and financial markets (see Bansal, Kiku, and Yaron (2012); Bansal, Kiku, Shaliastovich, and Yaron (2013); Bloom (2009); and Fernández-Villaverde and Rubio-Ramı́rez (2011)).”
Higher-order effects in asset-pricing models with long-run risks (2018, unknown): “In response to this observation, Bansal et al. (2012) recalibrate the model to better match the level of predictability in the data.3 We use this calibration to analyze the impact of higher-order dynamics on quantitative equilibrium outcomes in the long-run risk model.”
An Intertemporal CAPM with Stochastic Volatility (2018, background): “Bansal and Yaron (2004) add stochastic volatility to the Restoy- eil model, and subsequent theoretical and empirical research in the long-run risk framework increasingly emphasizes the importance of stochastic volatility ( Bansal et al., 2012; Beeler and Campbell, 2012; Hansen, 2012 ).”
Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds (2019, unknown): “Bansal and Yaron (2004) initially showed that such models capture salient features of the equity premium, the risk-free rate, and market volatility.”
Housing, Finance and the Macroeconomy (2014, unknown): “This result contradicts implications of the papers of Campbell and Cochrane (1999), Bansal and Yaron (2004); Bansal, Kiku, and Yaron (2012) and Gabaix (2012) discussed earlier.”
Psychology-based Models of Asset Prices and Trading Volume (2018, background): “…price-to-rent ratio predicts subsequent 3On rare disasters, see Gabaix (2012) and Wachter (2013); on long-run risk, see Bansal and Yaron (2004) and Bansal et al. (2012); on changing risk aversion, see Campbell and Cochrane (1999); and on rational learning, see Timmermann (1993) and Pastor and…”
How Much Would You Pay to Resolve Long-Run Risk? (2014, background): “The empirical importance of stochastic volatility is emphasized by Bansal et al (2012) and Beeler and Campbell (2012).”
Optimal climate change mitigation under long-term growth uncertainty: Stochastic integrated assessment and analytic findings (2014, methodology): “We base our choices of values for the disentangled preference on estimates by Vissing-Jørgensen & Attanasio (2003), Bansal & Yaron (2004), and Bansal et al. (2010), and Bansal et al. (2012).”