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- W3007869635 abstract "We present an economy where aggregate risk aversion is stochastic and state-dependent in response to information about the wider economy. A factor model is used to link aggregate risk aversion to the business cycle and to handle high-dimensionality of the information about the economy. Our estimated aggregate risk aversion is counter-cyclical and varies with news about economic booms and busts. We find new evidence of volatility clustering of risk aversion around recessions. In addition to the price of consumption risk associated with consumption risk, time variation in risk aversion introduces risk preferences as a new component of the risk premium." @default.
- W3007869635 created "2020-03-06" @default.
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- W3007869635 date "2020-01-01" @default.
- W3007869635 modified "2023-09-27" @default.
- W3007869635 title "Asset pricing with endogenous state-dependent risk aversion" @default.
- W3007869635 hasPublicationYear "2020" @default.
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