RISK-AVERSION AND STOCK-MARKET VOLATILITY

被引：0

作者：

BOYLE, GW ^{[1
]}

YOUNG, L ^{[1
]}

机构：

[1] UNIV TEXAS,AUSTIN,TX 78712

来源：

JOURNAL OF MACROECONOMICS | 1992年 / 14卷 / 04期

关键词：

D O I：

10.1016/0164-0704(92)90002-P

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A continuous-state model of asset pricing with autocorrelated output growth is used to derive stock market volatility as a continuous function of relative risk aversion, gamma. Stock market volatility need not be an increasing function of gamma and can even be non-monotonic, a possibility overlooked by previous authors.

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页码：593 / 606

页数：14

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