WHY DO RISK PREMIA VARY OVER TIME? A THEORETICAL INVESTIGATION UNDER HABIT FORMATION

DOI10.1017/S1365100511000381zbMath1272.91063OpenAlexW3124011426MaRDI QIDQ2843373

Pawel Zabczyk, Bianca De Paoli

Publication date: 22 August 2013

Published in: Macroeconomic Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s1365100511000381

zbMATH Keywords

risk premiumhabitscountercyclicalitymacrofinance

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Credit risk (91G40)

Related Items (1)

Bubbles, shocks and elementary technical trading strategies

Cites Work

• Unnamed Item
• Asset pricing implications of a New Keynesian model
• The term structure of interest rates in real and monetary economies
• Solving dynamic general equilibrium models using a second-order approximation to the policy function
• Predictability and habit persistence
• Asset Prices in an Exchange Economy

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