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Comparative Dynamics and Risk Premia in an Overlapping Generations Model

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  • Pamela Labadie

Abstract

An asset pricing model with overlapping generations is developed in order to study the relationship of risk aversion and risk premia and to derive some comparative dynamic results. The main result is that greater risk aversion does not necessarily imply a greater risk premium in this type of model.

Suggested Citation

  • Pamela Labadie, 1986. "Comparative Dynamics and Risk Premia in an Overlapping Generations Model," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(1), pages 139-152.
    • Handle: RePEc:oup:restud:v:53:y:1986:i:1:p:139-152.
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    File URL: http://hdl.handle.net/10.2307/2297597
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    Cited by:

    1. Drees, Burkhard & Eckwert, Bernhard, 1995. "The composition of stock price indices and the excess volatility puzzle," International Review of Economics & Finance, Elsevier, vol. 4(1), pages 29-36.
    2. Lancia, Francesco & Russo, Alessia & Worrall, Tim S, 2020. "Optimal Sustainable Intergenerational Insurance," CEPR Discussion Papers 15540, C.E.P.R. Discussion Papers.
    3. Andrew Glover & Jonathan Heathcote & Dirk Krueger & José-Víctor Ríos-Rull, 2020. "Intergenerational Redistribution in the Great Recession," Journal of Political Economy, University of Chicago Press, vol. 128(10), pages 3730-3778.
    4. Gollier, Christian & Schlesinger, Harris, 2002. "Changes in risk and asset prices," Journal of Monetary Economics, Elsevier, vol. 49(4), pages 747-760, May.
    5. Larry Karp & Armon Rezai, 2014. "The Political Economy Of Environmental Policy With Overlapping Generations," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 55(3), pages 711-733, August.
    6. Engel, Charles, 1996. "The forward discount anomaly and the risk premium: A survey of recent evidence," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 123-192, June.
    7. Bernard Dumas, 1993. "Partial- vs general-equilibrium models of the international capital market," Working Papers hal-00610766, HAL.
    8. Drees, Burkhard & Eckwert, Bernhard, 2000. "Price volatility and risk with non-separability of preferences," Mathematical Social Sciences, Elsevier, vol. 39(1), pages 21-34, January.
    9. Kihlstrom, Richard, 2009. "Risk aversion and the elasticity of substitution in general dynamic portfolio theory: Consistent planning by forward looking, expected utility maximizing investors," Journal of Mathematical Economics, Elsevier, vol. 45(9-10), pages 634-663, September.
    10. Karp, Larry & Rezai, Armon, 2017. "Asset prices and climate policy," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt6fx579fp, Department of Agricultural & Resource Economics, UC Berkeley.

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