Konferenzbeitrag

Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets

zu Verbundenen Objekten

This paper introduces changes in the level of ambiguity as a complementary source of time-varying risk aversion. We show in a consumption-based asset pricing model with simultaneously risky and ambiguous assets that a rise in the level of ambiguity raises investors' risk aversion. The effect is quantified in an application to European sovereign debt markets using a structural VAR to achieve identification in the data.

Sprache
Englisch

Erschienen in
Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2017: Alternative Geld- und Finanzarchitekturen - Session: Applied Macroeconometrics ; No. A06-V2

Klassifikation
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Information, Knowledge, and Uncertainty: General
Interest Rates: Determination, Term Structure, and Effects
Financial Crises
National Debt; Debt Management; Sovereign Debt

Ereignis
Geistige Schöpfung
(wer)
Grosse Steffen, Christoph
Podstawski, Maximilian
Ereignis
Veröffentlichung
(wer)
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft
(wo)
Kiel, Hamburg
(wann)
2017

Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

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Objekttyp

  • Konferenzbeitrag

Beteiligte

  • Grosse Steffen, Christoph
  • Podstawski, Maximilian
  • ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft

Entstanden

  • 2017

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