Aggregate Income Risks and Hedging Mechanisms

@article{Shiller1993AggregateIR,
  title={Aggregate Income Risks and Hedging Mechanisms},
  author={Robert J. Shiller},
  journal={Risk Management},
  year={1993}
}
  • 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… 

HEDGING INFLATION AND INCOME RISKS

This paper describes markets for long-term inflation risk and shows the relationship such markets would have to other potential new markets, markets for long-term claims on income aggregates. The

Recession Prediction Markets and Rare Macroeconomic Disaster Risk in Asset Prices

This paper analyzes recession prediction markets from Intrade and PredictIt where individuals bet on the binary outcome of a recession occurring by a certain date. Using a time series of such

Limited Risk Sharing and International Equity Returns

I study international risk sharing with limited stock market participation and preference heterogeneity in each country. An incomplete market model jointly generates high cross-country equity return

The Wealth-Consumption Ratio

We set up an exponentially affine stochastic discount factor model for bond yields and stock returns in order to estimate the prices of aggregate risk. We use the estimated risk prices to compute the

Time-Change Risks and the Aggregate Stock Market Behavior

This paper investigates how the investors responses to the evolution of uncertainty affect equilibrium asset returns. I develop a discrete-time real endowment economy where the aggregate economic

International Capital Markets and Wealth Transfers ∗

In periods of global stress there are large movements in exchange rates and assets prices. Currencies of developed economies appreciate, with the US dollar appreciating the most. Global stock markets

Title Limited risk sharing and international equity returns

I study international consumption risk sharing with limited stock market participation in each country. I present new evidence, employing micro-level household consumption data in the U.S. and U.K.,

Wealth Shocks and Risk Aversion

Modern literature departs from time-separable constant relative risk aversion preferences to explain asset pricing facts. This deviation typically implies that wealth shocks generate transitory

Human Capital and Economic Opportunity : A Global Working Group Working Paper Series

This paper derives the value and the risk of aggregate human capital in a dynamic equilibrium production model with Duffie-Epstein preferences. In this setting the expected return of a risky asset is
...

References

SHOWING 1-10 OF 45 REFERENCES

Measuring Asset Values for Cash Settlement in Derivative Markets: Hedonic Repeated Measures Indices and Perpetual Futures

Two proposals are made that may facilitate the creation of derivative market instruments, such as futures contracts, cash-settled based on economic indices. The first proposal concerns index number

Are Industrial-Country Consumption Risks Globally Diversified?

What idiosyncratic consumption risks can countries trade away on international asset markets? This paper develops an empirical methodology for answering the question. The tests are based on the

Index- Based Futures And Options Markets In Real Estate

Most institutional and individual portfolios are very undiversified in real estate: many hold no real estate at all, many have holdings highly concentrated in certain regions or types of real estate.

Macro Markets: Creating Institutions for Managing Society's Largest Economic Risks

Macro Markets puts forward a unique and authoritative set of detailed proposals for establishing new markets for the management of the biggest economic risks facing society. Our existing financial

Stock Prices, Earnings and Expected Dividends

Long historical averages of real earnings help forecast present values of future real dividends. With aggregate U.S. stock market data (1871-1986), a vector-autoregressive forecast of the present

Dividend Innovations and Stock Price Volatility

This paper establishes an inequality that may be used to test the null hypothesis that a stock price equals the expected present discounted value of its dividend stream, with a constant discount

Actual and Warranted Relations between Asset Prices

Efficient markets models assert that the price of each asset is equal to the optimal forecast of its ex-post (or fundamental) value, but the models do not imply that the covariances between prices

The Stock Market Investments: Is the Market a Sideshow?

RECENT EVENTS and research findings increasingly suggest that the stock market is not driven solely by news about fundamentals. There seem to be good theoretical as well as empirical reasons to

Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation

This is a summary and interpretation of some of the literature on stock price volatility that was stimulated by Leroy and Porter (1981) and Shiller (1981a). It appears that neither small sample bias,