Long-Run Risk Through Consumption Smoothing

By Georg Kaltenbrunner, Lars A. Lochstoer. 2010

316 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f8da2cc997a5b89864d3559282dedbf906507951

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Citations in the corpus

Long-Run Productivity Risk: A New Hope for Production-Based Asset Pricing? (2014, unknown): “Overall, however,402 thanks to the presence of adjustment costs, the volatility is much higher than that observed in403 standard frictionless production-based models (Tallarini 2000, Kaltenbrunner and Lochstoer 2010,404 and the CRRA case in Jermann 1998).”
Asset Pricing in a Production Economy with Chew-Dekel Preferences (2007, unknown): “Web: http://pages.stern.nyu.edu/˜gclement”
Disaster Risk and its Implications for Asset Pricing (2015, unknown): “The literature on dynamic production economies without disasters (e.g. Jermann (1998), Boldrin, Christiano, and Fisher (2001), Kaltenbrunner and Lochstoer (2010)) illustrates the many challenges that this research agenda faces.”
Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors (2012, unknown): “(2008), Ferson, Nallareddy, and Xie (2010), Kaltenbrunner and Lochstoer (2010), Koijen, Lustig, Van Nieuwerburgh, and Verdelhan (2010), Lettau and Ludvigson (2004), Piazzesi and Schneider (2006), and Zhou and Zhu (2009).”
Asset Pricing in the Frequency Domain: Theory and Empirics (2016, background): “24 See Bernanke, Boivin, and Eliasz (2005), Ludvigson and Ng (2007), and Jurado, Ludvigson, and Ng (2015).”
Asset Pricing in Production Economies with Extrapolative Expectations (2015, background): “In the data, excess returns are predictable by the dividend–price ratio (e.g., Campbell and Shiller, 1988; Fama and French, 1988), aggregate Q (e.g., Kothari and Shanken, 1997; Pontiff and Schall, 1998), and the investment rate (IK) (e.g., Cochrane, 1991).”
Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital (2013, unknown): “We conclude this section by pointing out that the volatility puzzle is more severe in economies with decreasing returns to physical capital (see also Kaltenbrunner and Lochstoer (2010) and Croce (2008)).”
Optimal climate change mitigation under long-term growth uncertainty: Stochastic integrated assessment and analytic findings (2014, background): “Tallarini (2000) calibrates a low value of 2.3%, whereas Kaltenbrunner & Lochstoer (2010) are at the upper end of the range of values with 8.2%.”