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Asset pricing with time preference shocks: Existence and uniqueness

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  • Stachurski, John
  • Wilms, Ole

    (Tilburg University, School of Economics and Management)

  • Zhang, Junnan

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  • Stachurski, John & Wilms, Ole & Zhang, Junnan, 2024. "Asset pricing with time preference shocks: Existence and uniqueness," Other publications TiSEM 29da00af-3cca-4717-aa55-a, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:29da00af-3cca-4717-aa55-acd85ede1841
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    References listed on IDEAS

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    1. Tim Bollerslev & George Tauchen & Hao Zhou, 2009. "Expected Stock Returns and Variance Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4463-4492, November.
    2. Samuel Kruger, 2021. "High Aversion to Stochastic Time Preference Shocks and Counterfactual Long-Run Risk in the Albuquerque et al., Valuation Risk Model," Critical Finance Review, now publishers, vol. 10(3), pages 383-408, August.
    3. Burnside, Craig, 1998. "Solving asset pricing models with Gaussian shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 22(3), pages 329-340, March.
    4. Havranek, Tomas & Horvath, Roman & Irsova, Zuzana & Rusnak, Marek, 2015. "Cross-country heterogeneity in intertemporal substitution," Journal of International Economics, Elsevier, vol. 96(1), pages 100-118.
    5. Philippe Weil, 1990. "Nonexpected Utility in Macroeconomics," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 105(1), pages 29-42.
    6. Lars Peter Hansen & John C. Heaton & Nan Li, 2008. "Consumption Strikes Back? Measuring Long-Run Risk," Journal of Political Economy, University of Chicago Press, vol. 116(2), pages 260-302, April.
    7. Calvet, Laurent E. & Campbell, John Y & Gomes, Francisco & Sodini, Paolo, 2021. "The Cross-Section of Household Preferences," CEPR Discussion Papers 16105, C.E.P.R. Discussion Papers.
    8. Campbell, John Y, 1996. "Understanding Risk and Return," Journal of Political Economy, University of Chicago Press, vol. 104(2), pages 298-345, April.
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    10. Larry G. Epstein & Stanley E. Zin, 2013. "Substitution, risk aversion and the temporal behavior of consumption and asset returns: A theoretical framework," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 12, pages 207-239, World Scientific Publishing Co. Pte. Ltd..
    11. Jessica A. Wachter, 2013. "Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?," Journal of Finance, American Finance Association, vol. 68(3), pages 987-1035, June.
    12. Lars Peter Hansen & Jose A. Scheinkman, 2012. "Recursive utility in a Markov environment with stochastic growth," Working Papers 1380, Princeton University, Department of Economics, Econometric Research Program..
    13. Rui Albuquerque & Martin Eichenbaum & Victor Xi Luo & Sergio Rebelo, 2016. "Valuation Risk and Asset Pricing," Journal of Finance, American Finance Association, vol. 71(6), pages 2861-2904, December.
    14. Robert J. Barro, 2009. "Rare Disasters, Asset Prices, and Welfare Costs," American Economic Review, American Economic Association, vol. 99(1), pages 243-264, March.
    15. Stachurski, John & Zhang, Junnan, 2021. "Dynamic programming with state-dependent discounting," Journal of Economic Theory, Elsevier, vol. 192(C).
    16. TallariniJr., Thomas D., 2000. "Risk-sensitive real business cycles," Journal of Monetary Economics, Elsevier, vol. 45(3), pages 507-532, June.
    17. Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2022. "Valuation risk revalued," Quantitative Economics, Econometric Society, vol. 13(2), pages 723-759, May.
    18. Christensen, Timothy M., 2022. "Existence and uniqueness of recursive utilities without boundedness," Journal of Economic Theory, Elsevier, vol. 200(C).
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