Anmerkungen:
In: Journal of Economic Dynamics and Control, Vol. 35, No. 9, 2011
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 28, 2010 erstellt
Beschreibung:
This paper shows that non-linearities from a neoclassical production function alone can generate time-varying, asymmetric risk premia and predictability over the business cycle. These empirical key features become relevant when we allow for non-normalities in the form of rare disasters. We employ analytical solutions of dynamic stochastic general equilibrium models, including a novel solution with endogenous labor supply, to obtain closed-form expressions for the risk premium in production economies. In contrast to an endowment economy with constant investment opportunities, the curvature of the consumption function affects the risk premium in production economies through controlling the individual's effective risk aversion