Long-run productivity risk: A new hope for production-based asset pricing?

被引：104

作者：

Croce, Mariano Massimiliano ^{[1
]}

机构：

[1] Univ N Carolina, Kenan Flagler Business Sch, McColl Bldg, Chapel Hill, NC 27514 USA

来源：

JOURNAL OF MONETARY ECONOMICS | 2014年 / 66卷

关键词：

Production; Long-run risk; Asset pricing; Recursive utility; STOCK RETURNS; VALUE PREMIUM; REAL ACTIVITY; FLUCTUATIONS;

D O I：

10.1016/j.jmoneco.2014.04.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The examination of the intertemporal distribution of US productivity risk suggests that the conditional mean of productivity growth is an important determinant of macro quantities and asset prices. After establishing this empirical link, I rationalize it in a production economy featuring long-run productivity risk, Epstein and Zin (1989) preferences, and investment frictions. Both convex capital adjustment costs and convex reallocation costs across consumption and investment produce an annual equity premium as sizeable as in the data. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：13 / 31

页数：19

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