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Intertemporal substitution, taste shocks and cointegration

โœ Scribed by Peter Kugler


Book ID
116100521
Publisher
Elsevier Science
Year
1988
Tongue
English
Weight
366 KB
Volume
26
Category
Article
ISSN
0165-1765

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This paper gauges the relative contribution of risk aversion, inter-temporal substitution and taste shocks on postwar monthly US equity premia. The time-varying consumption, market, and taste risks involved in the Euler equations are recovered from a common factor GARCH process and the MLE are obtai