Asset Prices in Dynamic Production Economies with Time-Varying Risk Export

@article{citeulike:120097, abstract = {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 risk 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 increase risk was responsible for the U.S. stock market decline of the 1970s.}, author = {Naik, Vasanttilak}, citeulike-article-id = {120097}, citeulike-linkout-0 = {http://www.jstor.org/stable/2962251}, journal = {The Review of Financial Studies}, keywords = {asset\_pricing, macroeconomics}, number = {4}, pages = {781--801}, posted-at = {2005-03-10 20:01:34}, priority = {2}, title = {Asset Prices in Dynamic Production Economies with Time-Varying Risk}, url = {http://www.jstor.org/stable/2962251}, volume = {7}, year = {1994} }

TY - JOUR ID - citeulike:120097 L3 - citeulike-article-id:120097 N2 - 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 risk 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 increase risk was responsible for the U.S. stock market decline of the 1970s. IS - 4 JF - The Review of Financial Studies EP - 801 TI - Asset Prices in Dynamic Production Economies with Time-Varying Risk VL - 7 SP - 781 KW - asset_pricing KW - macroeconomics AU - Naik, Vasanttilak PY - 1994/// UR - http://www.jstor.org/stable/2962251 ER -