Aggregate Income Risks and Hedging Mechanisms

  title={Aggregate Income Risks and Hedging Mechanisms},
  author={Robert J. Shiller},
  journal={Risk Management},
  • R. Shiller
  • Published 1 July 1993
  • Economics
  • Risk Management
Estimates are made, from time series data on real gross domestic products, of the standard deviations of returns in markets for perpetual claims on countries' incomes. The results indicate that the variability of returns is of a magnitude comparable to that of returns in stock markets. Evidence is shown that there may be only minimal possibility of cross hedging these returns in existing capital markets. Methods of establishing markets for perpetual claims on aggregate incomes are examined… 


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