..

S-Shaped Utility Explains the Subprime Crash

Abstract

João José de Farias Neto

Author propose an S-shaped utility function of consumption which, combined with a heterogeneous agents and external habit setting, it’s well the first order moments of the American financial and macroeconomic time series relevant for the equity premium puzzle in the second half of XX century. The average relative risk aversion of the agents remains in the 0-3 range. The shape of the utility and its relative risk aversion function of consumption suggest an explanation for the 2008 suprime crash.

Descargo de responsabilidad: este resumen se tradujo utilizando herramientas de inteligencia artificial y aún no ha sido revisado ni verificado

Comparte este artículo

Indexado en

arrow_upward arrow_upward