João José de Farias Neto
Author propose an S-shaped utility function of consumption which, combined with a heterogeneous agents and external habit setting, it’s well the first order moments of the American financial and macroeconomic time series relevant for the equity premium puzzle in the second half of XX century. The average relative risk aversion of the agents remains in the 0-3 range. The shape of the utility and its relative risk aversion function of consumption suggest an explanation for the 2008 suprime crash.
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