significantly influence consumption dynamics. Our estimates of the indexes of relative risk aversion and relative prudence, as well …

comparative statics results depend, among other things, upon the values of the coefficients of relative risk aversion and relative … papers investigated constraints on the higher degree extensions of the coefficients of relative risk aversion and of relative …

This paper examines determinants of stochastic relative risk aversion in conditional asset pricing models. Novel time … habit formation model is the most important determinant of relative risk aversion. Second, the CAY of Lettau and Ludvigson … (2001a) without a look-ahead bias and the short term interest rate explain part of relative risk aversion. Third, the …

This paper derives closed-form and numerical solutions for relative risk aversion in a standard consumption-based model … relative risk aversion. In addition, housing may generate state-dependent, time-varying risk aversion. …