Time varying risk premia in general equilibrium with production.

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Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
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Endowment economies have generally been considered when trying to reproduce the empirical rejection of the expectation hypothesis of the term structure as an implication of equilibrium asset pricing models. Previous attempts have not been successful: large risk aversion parameters are needed to produce sizeable risk premia and even then, the expectation hypothesis is not rejected. We present an economy with a time-to-build technology, in wich consumption is subject to cash-in-advance constraints, in wich, the expectations hypothesis of the term structure does not hold. Monetary shocks are much more important than real demand or supply shocks in producing the result.
Cuando se ha tratado de explicar teóricamente el rechazo de la hipótesis de expectativas que de modo bastante robusto se obtiene para distintos países y mercados, se han utilizado modelos de dotación, con resultados negativos. En ellos, es preciso introducir coeficientes de aversión al riesgo muy elevado para obtener primas de riesgo apreciables, pero ni siquiera entonces se rechaza la hipótesis de expectativas. Presentamos una economía con tecnología time-to-build y restricciones de efectivo por adelantado, en la que la hipótesis de expectativas acerca de la formación de la estructura intertemporal se rechaza. Las perturbaciones monetarias son mucho más importantes que las perturbaciones reales, de demanda u oferta, en la generación de este resultado.
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