Asset Prices in Dynamic Production Economies with Time-Varying Risk
Asset Prices in Dynamic Production Economies with Time-Varying Risk
复制标题
具有时变风险的动态生产经济体中的资产价格
DOI：
10.1093/rfs/7.4.781
复制
发表时间：
1994
影响因子：
8.2
通讯作者：
Vasant Naik
中科院分区：
文献类型：
--
作者：
Vasant Naik
我们考察了产出不确定性变化对总资本价格和对资本的杠杆债权价格的影响。资本边际产量波动率与资本价格的关系取决于资本调整成本水平和跨期替代弹性。对于这种弹性的可用估计，资本价值和风险直接相关，而杠杆股权对资本的债权价值可能在风险中下降。我们使用这些结果来分析风险的增加是导致20世纪70年代美国股市下跌的原因。这篇文章由牛津大学出版社代表金融研究学会发表在其期刊《金融研究评论》上。
We examine the effect of changes in output uncertainty on the price of aggregate capital and on the prices of levered claims on capital. The relation between the volatility of the marginal product of capital and the price of capital depends on the level of capital adjustment costs and the elasticity of intertemporal substitution. For available estimates of this elasticity, the value of capital and risks are directly related while the value of levered equity claims on capital may be decreasing in risk. We use these results to analyze the argument that increased risk was responsible for the U.S. stock market decline of the 1970s. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.