GET THE APP

..

Journal of Global Economics

ISSN: 2375-4389

Open Access

S-Shaped Utility Explains the Subprime Crash

Abstract

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.

PDF

Share this article

Google Scholar citation report
Citations: 1931

Journal of Global Economics received 1931 citations as per Google Scholar report

Journal of Global Economics peer review process verified at publons

Indexed In

 
arrow_upward arrow_upward