Chapter 61 Intertemporal Substitution and Risk Aversion

We study structural models of stochastic discount factors and explore alternative methods of estimating such models using data on macroeconomic risk and asset returns. Particular attention is devoted to recursive utility models in which risk aversion can be modified without altering intertemporal substitution. We characterize the impact of changing the intertemporal substitution and risk aversion parameters on equilibrium short-run and long-run risk prices and on equilibrium wealth.

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Year of publication:	2007
Authors:	Hansen, Lars Peter ; Heaton, John ; Lee, Junghoon ; Roussanov, Nikolai
Published in:	Handbook of econometrics : volume 6A. - Amsterdam : Elsevier/North Holland, ISBN 978-0-08-055628-4. - 2007, p. 3967-4056
Subject:	intertemporal substitution \| risk aversion \| recursive utility \| GMM \| asset pricing \| Risikoaversion \| Risk aversion \| Theorie \| Theory \| Intertemporale Entscheidung \| Intertemporal choice \| CAPM \| Momentenmethode \| Method of moments \| Nutzenfunktion \| Utility function \| Nutzen \| Utility