Long-Run Risk through Consumption Smoothing
研究了标准生产经济模型中，即使技术增长是独立同分布的，最优消费平滑也会内生地产生长期风险，从而在低消费增长波动和低风险厌恶系数下解释高风险价格。
We examine how long-run consumption risk arises endogenously in a standard pro-duction economy model where the representative agent has Epstein-Zin preferences. We show that even when technology growth is i.i.d., optimal consumption smoothing induces long run risk- highly persistent variation in expected consumption growth. As a consequence, the model can account for a high price of risk although both consump-tion growth volatility and the coe ¢ cient of relative risk aversion are low. The asset pricing implications of endogenous long-run risk depend crucially on the persistence of technology shocks and investorspreference for the timing of resolution of uncertainty.