Time-varying risk aversion and unexpected inflation
Publication
, Journal Article
Brandt, MW; Wang, KQ
Published in: Journal of Monetary Economics
October 1, 2003
We formulate a consumption-based asset pricing model in which aggregate risk aversion is time-varying in response to both news about consumption growth (as in a habit formation model) and news about inflation. We estimate our model and explore its pricing implications for the term structure of interest rates and the cross-section of stock returns. Our empirical results support the hypothesis that aggregate risk aversion varies in response to news about inflation. The induced time-variation in risk aversion does not appear to proxy for inflation uncertainty or economic growth. © 2003 Elsevier B.V. All rights reserved.
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Published In
Journal of Monetary Economics
DOI
ISSN
0304-3932
Publication Date
October 1, 2003
Volume
50
Issue
7
Start / End Page
1457 / 1498
Related Subject Headings
- Economics
- 3803 Economic theory
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1403 Econometrics
- 1402 Applied Economics
- 1401 Economic Theory
Citation
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Brandt, M. W., & Wang, K. Q. (2003). Time-varying risk aversion and unexpected inflation. Journal of Monetary Economics, 50(7), 1457–1498. https://doi.org/10.1016/j.jmoneco.2003.08.001
Brandt, M. W., and K. Q. Wang. “Time-varying risk aversion and unexpected inflation.” Journal of Monetary Economics 50, no. 7 (October 1, 2003): 1457–98. https://doi.org/10.1016/j.jmoneco.2003.08.001.
Brandt MW, Wang KQ. Time-varying risk aversion and unexpected inflation. Journal of Monetary Economics. 2003 Oct 1;50(7):1457–98.
Brandt, M. W., and K. Q. Wang. “Time-varying risk aversion and unexpected inflation.” Journal of Monetary Economics, vol. 50, no. 7, Oct. 2003, pp. 1457–98. Scopus, doi:10.1016/j.jmoneco.2003.08.001.
Brandt MW, Wang KQ. Time-varying risk aversion and unexpected inflation. Journal of Monetary Economics. 2003 Oct 1;50(7):1457–1498.
Published In
Journal of Monetary Economics
DOI
ISSN
0304-3932
Publication Date
October 1, 2003
Volume
50
Issue
7
Start / End Page
1457 / 1498
Related Subject Headings
- Economics
- 3803 Economic theory
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1403 Econometrics
- 1402 Applied Economics
- 1401 Economic Theory