1 option
Mean Reversion and Consumption Smoothing / Fischer Black.
- Format:
- Book
- Author/Creator:
- Black, Fischer.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w2946.
- NBER working paper series no. w2946
- Language:
- English
- Subjects (All):
- Prices--Mathematical models.
- Prices.
- Risk--Mathematical models.
- Risk.
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1989.
- Cambridge, Mass. : National Bureau of Economic Research, 1989.
- Summary:
- Using a simple conventional model with additive separable utility and constant elasticity, we can explain mean reversion and consumption smoothing. The model uses the price of risk and wealth as state variables, but has only one stochastic variable. The price of risk rises temporarily as wealth falls. We also distinguish between risk aversion and the consumption elasticity of marginal utility. We can use the model to match estimates of the average values of consumption volatility, wealth volatility, mean reversion, the growth rate of consumption, the real interest rate, and the market risk premium.
- Notes:
- Print version record
- April 1989.
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