We propose a novel approximation of the risky steady state and construct first-order perturbations around it for a general class of dynamic equilibrium models with time-varying and non-Gaussian risk. We offer analytical formulas and conditions for their local existence and uniqueness. We apply...

Models of generalized recursive utility are becoming increasingly common as alternatives to discounted expected utility theory. These models have successfully explained many so-called, “anomalies” in field data, but often imply that agents have a preference over the timing of uncertainty...

Investor concerns about climate and other environmental regulatory risks suggest that these risks should affect corporate bond risk assessment and pricing. We test this hypothesis and find that firms with poor environmental profiles or high carbon footprints tend to have lower credit ratings and...

Eliciting risk preferences usually involves tasks that subjects may find complex, such as calculations of expected values and assessment of probabilities in multiple price lists (MPL). There is a serious concern that the decisions of the subjects may be driven by miscalculations or...

We define two new stochastic orders combining probability ratio and likelihood ratio and specify two respective classes of payoff functions, which nest most models in the literature as special cases, such that a risk change satisfies one of the two stochastic orders if and only if given any...

Two distinct interpretations of ambiguity attitudes have been proposed, namely, weighting the multiple priors pessimistically and exhibiting preference over different sources of uncertainty. This study examines the links among attitudes towards three sources of uncertainty including ambiguity...