Journal of Monetary Economics 2016 DOI: 10.1016/j.jmoneco.2016.07.003 View full text
Ravi Bansal, Dana Kiku, Amir Yaron

Abstract: The long-run risks (LRR) asset pricing model emphasizes the role of low-frequency movements in expected growth and economic uncertainty, along with investor preferences for early resolution of uncertainty, as an important economic-channel that determines asset prices. In this paper, we estimate the LRR model. To accomplish this we develop a method that allows us to estimate models with recursive preferences, latent state variables, and time-aggregated data. Time-aggregation makes the decision interval of the a…

expand abstract