English, Article, Journal or magazine article edition: Tassi di interesse reali, rischio di lungo periodo e cicli economici Giorgio PIZZUTTO

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Bookmark: http://trove.nla.gov.au/version/58804
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Tassi di interesse reali, rischio di lungo periodo e cicli economici
Author
  • Giorgio PIZZUTTO
Physical Description
  • preprint
Notes
  • Real interest rates, long run risks and business cycles. Standard theoretical model under power utility preferences generates time series for real yields and output that are not consistent with the cyclical properties of the macroeconomic data. In particular real interest rates of the model are highly procyclical, while measured real interest rates are countercyclical. Following recent developments in equity premium literature we explore this question in a long run risk environment with generalized isoleastic preferences. This approach explains equity premium puzzle, but it fails to fit real bond prices and their dynamics in relation to business cycles if we model exogenous consumption growth with a persistent component and time-varying volatility.
  • Asset pricing, long run risk, bond premium puzzle, business cycles
  • RePEc:mil:wpdepa:2008-05
Language
  • English
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