I connect interest rates, risk premia and welfare costs of long-run consumption uncertainty in a setting with Epstein and Zin [12] preferences. I find that long-run uncertainty can create significant welfare costs even when risk aversion is moderate and the short-run consumption volatility low. I document that the risk-free rate puzzle is a key determinant of the welfare costs
This paper considers the business cycle, asset pricing, and welfare e!ects of increased risk aversio...
This paper provides a tractable continuous-time constant-absolute-risk averse (CARA)-Gaussian framew...
The examination of the intertemporal distribution of US productivity risk suggests that the conditio...
The main goal of this paper is to measure the welfare costs of business cycles in a production econo...
We model consumption and dividend growth rates as containing (1) a small long-run predictable compon...
The main goal of this paper is to measure the welfare costs of business cycles in a production econ...
We examine how long-run consumption risk arises endogenously in a standard pro-duction economy model...
A representative-consumer model with Epstein-Zin-Weil preferences and i.i.d. shocks, including rare ...
We examine the potential importance of consumer ambiguity aversion for asset prices and how consumpt...
We analyze how commodity price uncertainty affects saving behavior and welfare in a dynamic model wi...
This paper studies risk premia in an incomplete-markets economy with households facing idiosyncratic...
We document an unpleasant feature of Epstein-Zin preferences in a stylized model economy of the long...
I show that long-run risk — highly persistent variation in expected consumption growth — arises endo...
We model consumption and dividend growth rates as containing (1) a small long-run predictable compon...
The financial and economic crisis of 2007-2009 has emphasized the importance of understanding the in...
This paper considers the business cycle, asset pricing, and welfare e!ects of increased risk aversio...
This paper provides a tractable continuous-time constant-absolute-risk averse (CARA)-Gaussian framew...
The examination of the intertemporal distribution of US productivity risk suggests that the conditio...
The main goal of this paper is to measure the welfare costs of business cycles in a production econo...
We model consumption and dividend growth rates as containing (1) a small long-run predictable compon...
The main goal of this paper is to measure the welfare costs of business cycles in a production econ...
We examine how long-run consumption risk arises endogenously in a standard pro-duction economy model...
A representative-consumer model with Epstein-Zin-Weil preferences and i.i.d. shocks, including rare ...
We examine the potential importance of consumer ambiguity aversion for asset prices and how consumpt...
We analyze how commodity price uncertainty affects saving behavior and welfare in a dynamic model wi...
This paper studies risk premia in an incomplete-markets economy with households facing idiosyncratic...
We document an unpleasant feature of Epstein-Zin preferences in a stylized model economy of the long...
I show that long-run risk — highly persistent variation in expected consumption growth — arises endo...
We model consumption and dividend growth rates as containing (1) a small long-run predictable compon...
The financial and economic crisis of 2007-2009 has emphasized the importance of understanding the in...
This paper considers the business cycle, asset pricing, and welfare e!ects of increased risk aversio...
This paper provides a tractable continuous-time constant-absolute-risk averse (CARA)-Gaussian framew...
The examination of the intertemporal distribution of US productivity risk suggests that the conditio...