External Habit in a Production Economy: A Model of Asset Prices and Consumption Volatility Risk

2016 ◽  
Author(s):  
Andrew Y. Chen
Keyword(s):  
Asset Prices ◽  
Production Economy ◽  
Volatility Risk ◽  
Consumption Volatility

External Habit in a Production Economy: A Model of Asset Prices and Consumption Volatility Risk

2017 ◽  
Vol 30 (8) ◽  
pp. 2890-2932 ◽  
Author(s):  
Andrew Y. Chen
Keyword(s):  
Asset Prices ◽  
Production Economy ◽  
Volatility Risk ◽  
Consumption Volatility

scholarly journals Volatility Risk Pass-Through

2021 ◽  
Author(s):  
Riccardo Colacito ◽  
Mariano M Croce ◽  
Yang Liu ◽  
Ivan Shaliastovich
Keyword(s):  
Risk Sharing ◽  
Output Volatility ◽  
Equity Prices ◽  
Volatility Risk ◽  
Consumption Volatility ◽  
Net Exports ◽  
Pass Through ◽  
Average Consumption ◽  
Macroeconomic Aggregates

Abstract We develop a novel measure of volatility pass-through to assess international propagation of output volatility shocks to macroeconomic aggregates, equity prices, and currencies. An increase in country’s output volatility is associated with a decrease in its output, consumption, and net exports. The average consumption pass-through is 50% (a 1% increase in output volatility increases consumption volatility by 0.5%) and it increases to 70% for shocks originating in smaller countries. The equity volatility pass-through is larger and in the order of 90%. A novel channel of risk sharing of volatility risks can explain our empirical findings.

Financial Crises and Risk Premia*

2017 ◽  
Vol 132 (2) ◽  
pp. 765-809 ◽  
Author(s):  
Tyler Muir
Keyword(s):  
Financial Crises ◽  
Asset Prices ◽  
Risk Premia ◽  
Expected Returns ◽  
Behavioral Models ◽  
Pricing Models ◽  
Aggregate Consumption ◽  
Consumption Volatility ◽  
International Panel ◽  
Asset Pricing Models

Abstract I analyze the behavior of risk premia in financial crises, wars, and recessions in an international panel spanning over 140 years and 14 countries. I document that expected returns, or risk premia, increase substantially in financial crises, but not in the other episodes. Asset prices decline in all episodes, but the decline in financial crises is substantially larger than the decline in fundamentals so that expected returns going forward are large. However, drops in consumption and consumption volatility are fairly similar across financial crises and recessions and are largest during wars, so asset pricing models based on aggregate consumption have trouble matching these facts. Comparing crises to “deep” recessions strengthens these findings further. By disentangling financial crises from other bad macroeconomic times, the results suggest that financial crises are particularly important to understanding why risk premia vary. I discuss implications for theory more broadly and discuss both rational and behavioral models that are consistent with the facts. Theories where asset prices are related to the health of the financial sector appear particularly promising.

The volatility of asset prices in a stochastic production economy

1992 ◽  
Vol 40 (1) ◽  
pp. 97-104
Author(s):  
Sangmoon Hahm
Keyword(s):  
Asset Prices ◽  
Production Economy ◽  
Stochastic Production

Consumption Volatility Risk

2013 ◽  
Vol 68 (6) ◽  
pp. 2589-2615 ◽  
Author(s):  
OLIVER BOGUTH ◽  
LARS-ALEXANDER KUEHN
Keyword(s):  
Volatility Risk ◽  
Consumption Volatility

scholarly journals Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices

2010 ◽  
Vol 24 (1) ◽  
pp. 82-122 ◽  
Author(s):  
Marco Bonomo ◽  
René Garcia ◽  
Nour Meddahi ◽  
Roméo Tédongap
Keyword(s):  
Asset Prices ◽  
Volatility Risk ◽  
Long Run ◽  
Disappointment Aversion

scholarly journals Consumption Volatility Risk and the Inversion of the Yield Curve

2018 ◽  
Author(s):  
Adriana Grasso ◽  
Filippo Natoli
Keyword(s):  
Yield Curve ◽  
Volatility Risk ◽  
Consumption Volatility

scholarly journals Consumption Volatility Risk and the Inversion of the Yield Curve

2018 ◽  
Author(s):  
Adriana Grasso ◽  
Filippo Natoli
Keyword(s):  
Yield Curve ◽  
Volatility Risk ◽  
Consumption Volatility

Consumption Volatility Risk

2011 ◽  
Author(s):  
Oliver Boguth ◽  
Lars-Alexander Kuehn
Keyword(s):  
Volatility Risk ◽  
Consumption Volatility
Sign in / Sign up

Export Citation Format

Share Document