Risks For the Long Run
Long Run Risk: Is It There? by Yukun Liu, Ben Matthies :: SSRN
This paper documents the existence of a persistent component in consumption growth. We take a novel approach using news coverage to capture ...
An Empirical Evaluation of the Long-Run Risks Model for Asset Prices
In this paper, we empirically evaluate the long-run risks (LRR) model of Bansal and Yaron (2004) along these challenging dimensions. In our analysis, we also ...
Long Run Risks, Credit Markets, and Financial Structure - jstor
risks in cash flow and consumption growth on optimal corporate default and capital structure decisions, the term structure of credit spreads.
Risks For the Long Run: Estimation with Time Aggregation
The long-run risks (LRR) asset pricing model emphasizes the role of low-frequency movements in expected growth and economic uncertainty, along with investor ...
Long Run Risks and Equity Returns - Duke People
The exposure of dividend levels to permanent risks in consumption, a measure of long-run risks, plays an important role in determining the risk and return ...
In a recent study, Bansal and Yaron (2004) demonstrated the fundamental importance of long-run risks in providing a coherent account for many stylized empirical ...
Short-Run and Long-Run Consumption Risks, Dividend Processes ...
In this paper, we extend the long-run consumption risk model in Bansal and Yaron (2004) and explore its implications for the cross-section of asset returns by ...
The Resolution of Long-Run Risk - Index of /
The Long-Run Risk Model (LRRM), introduced by Bansal and Yaron (2004), is one of the main theoretical pillars in financial macroeconomics. In its original ...
Long Run Risks and Financial Markets
there are three distinct sources of risks that determine the risk premia– short run risk, long run risk, and consumption volatility risk. In the traditional ...
The equilibrium is exactly solvable and we show that the pricing model always includes long-run risks. With risk aversion of 4.7, the model ...
Long-Run Risk and Hidden Growth Persistence.
Long-Run Risk and Hidden Growth Persistence. Pakos, Michal (2013): Long-Run Risk and Hidden Growth Persistence. Published in: Journal of ...
Empirical analysis of the long-run risk model has so far been very limited. The evidence in Bansal and Yaron (2004) has recently been questioned by Beeler and ...
Risks for the Long Run: A Potential Resolution of Asset Pricing ...
In our economy, financial markets dislike economic uncertainty and better long-run growth prospects raise equity prices. The model can justify the equity ...
How Much Would You Pay to Resolve Long-Run Risk?
Though risk aversion and the elasticity of intertemporal substitution have been the subjects of careful scrutiny when calibrating preferences, the long-run ...
Concerns for Long-Run Risks and Natural Resource Policy
In this paper, we explore this issue by analyzing how natural resource conservation policy should optimally respond to long-run risks in a resource management ...
As in the long run risks model of. 3. Page 5. Bansal and Yaron (2004) (BY), µc +xt is the conditional expectation of consumption growth, and xt ...
Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
To incorporate market returns and the risk-free rate into the state-space model that is used for the second part of the empirical analysis, we have to solve for ...
Long-Run Risk Is the Worst-Case Scenario - jstor
The emergence of the long-run risk model as the one that she focuses on is entirely endogenous.6 We also obtain analytic results that provide economic insights.
Rare events and long-run risks - PubMed
Rare events (RE) and long-run risks (LRR) are complementary approaches for characterizing macroeconomic variables and understanding asset pricing.
The Long-Run Risks Model and Aggregate Asset Prices
Download Citation | The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment | The long-run risks model of asset prices explains stock ...