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dc.contributor.authorAase, Knut K.
dc.date.accessioned2014-02-13T09:59:19Z
dc.date.available2014-02-13T09:59:19Z
dc.date.issued2013-05
dc.identifier.urihttp://hdl.handle.net/11250/164153
dc.description.abstractWe study the Epstein-Zin model with recursive utility. Recognizing that recursive preferences implies that the underlying model is not Markovian, we use methods not depending upon the Markov property to solve the model. We work with the returns directly, which we approximate by Taylor series expansions, in log terms. Leaving out moments of order three and higher, we calibrate the resulting model to the data of Mehra and Prescott (1985) under various assumptions about the wealth portfolio. The results are very reasonable for the US-data. We also calibrate to a newer Norwegian data set, where we also have the relevant estimates for the national wealth portfolio. Again, the results are consistent with plausible values for the prefer- ence parameters.no_NO
dc.language.isoengno_NO
dc.publisherNorwegian School of Economics and Business Administrationno_NO
dc.relation.ispartofseriesDiscussion papers;2013/03
dc.subjectthe equity premium puzzleno_NO
dc.subjectthe risk-free rate puzzleno_NO
dc.subjectrecursive utilityno_NO
dc.subjectearly resolutionno_NO
dc.subjectutility gradientsno_NO
dc.titleRecursive utility and the equity premium puzzle: A discrete-time approachno_NO
dc.typeWorking paperno_NO
dc.subject.nsiVDP::Social science: 200::Economics: 210::Business: 213no_NO


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