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The subjective discount factor and the coefficient of relative risk aversion under time-additive isoelastic expected utility model
Dominique Pepin
By analysing the restrictions that ensure the existence of capital market equilibrium, we show that the coefficient of relative risk aversion and the subjective discount factor can…
Intertemporal Substitutability, Risk Aversion and Asset Prices
Dominique Pepin
Is the elasticity of intertemporal substitution (EIS) more or less than one? This question can be answered by confronting theoretical results of asset pricing models with investor…
A re-examination of real interest parity in CEECs using old and new generations of panel unit root tests
Claudiu Tiberiu Albulescu, Dominique Pepin, Aviral Kumar Tiwari
This study applies old and new generations of panel unit root tests to test the validity of long-run real interest rate parity (RIP) hypothesis for ten Central and Eastern European…
Asset Prices and Risk Aversion
Dominique Pepin
The standard asset pricing models (the CCAPM and the Epstein-Zin non-expected utility model) counterintuitively predict that equilibrium asset prices can rise if the representative…