Title of article
Inequality riskpremia
Author/Authors
Timothy C.Johnson، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2012
Pages
16
From page
565
To page
580
Abstract
Usingalongtime-seriesofU.S.incomeinequality,Ifindthatthemarketpayshigher
pricesforassetsthathedgeagainstincreasedinequality.Thisisconsistentwiththe
predictionofanincomplete-marketsmodelincorporatingpreferencesoverboth
comparativeandnoncomparativeconsumption‘‘goods’’whentheweightontheformer
is large.Themodelimpliesthatthetime-seriespropertiesofthepremiumcanbeused
to identifythesubstitutabilityofthesetwosourcesofutility.Thereisevidencethatthe
magnitudeofthe(negative)inequalityriskpremiumiscountercyclical,suggestingthat
agentscaremoreaboutstatuswhentheyareworseoff
Journal title
Journal of Monetary Economics
Serial Year
2012
Journal title
Journal of Monetary Economics
Record number
846543
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