Not necessarily. I provide evidence that advanced countries' equity premium and consumption growth differ significantly from those of emerging countries. I then estimate distinct disaster risk parameters for these two country groups. My Bayesian analysis demonstrates that in some aspects...

This paper studies the importance of idiosyncratic endowment shocks for aggregate asset prices in continuous time. My generalized framework accommodates jumps and heterogeneous recursive preferences. I show that countercyclical cross-sectional risk is irrelevant to risk premia if and only if all...

We develop an asset pricing model with external habit formation. The model predicts that the effect of consumption shocks on the equity premium depends on the business cycle. We test this empirical implication using a VAR model of the U.S. postwar economy whose parameters are estimated...

Fischer Black provided a summary of my 1986 Princeton thesis. The idea in my thesis predates Epstein-Zin (1989). Black wrote:"Greenig (1986) explores time-nonseparable utility as a way of separating risk tolerance from elasticity of intertemporal substitution, and as a way of explaining things...

According to Austrian macroeconomic theory, capital accumulation today generates supply tomorrow. Will that supply match tomorrow's demand? In this paper we study this question in a multi-good and risky environment with an efficient financial system. Towards this end we develop a model based on...

According to Austrian macroeconomic theory, capital accumulation today generates supply tomorrow. Will that supply match tomorrows demand? In this paper we study this question in a multi-good and risky environment with an efficient financial system. Towards this end we develop a model based on...

In standard production models wage volatility is far too high and equity volatility is far too low. A simple modification - sticky wages due to infrequent resetting together with a CES production function - leads to both (i) smoother wages and (ii) higher equity volatility. Furthermore, the...

We develop a general equilibrium model based on dynamic agency theory to study investment and asset prices. In our environment, neither firms nor workers can commit to compensation contracts that provide continuation values below their outside options. At the aggregate level, the presence of...

Rare events (RE) and long-run risks (LRR) are complementary approaches for characterizing macroeconomic variables and understanding asset pricing. We estimate a model with RE and LRR using long-term consumption data for 42 economies, identify these two types of risks simultaneously from the...

The paper introduces a portfolio-based Keynesian dynamic stochastic general disequilibrium model. It is an endogenous phase-switching macroeconomic model of risky investment where the rational expectation is applied in the financial market with three financial instruments of stocks, credits, and...