We will use
the paper “Exotic preferences for macroeconomists” by Backus, Routledge and Zin
(BRZ) as an overveiw and introduction to many of the departures from standard
preferences that we will cover.
BRZ chapter 2-4*, “Exotic
Preferences for Macroeconomists”, mimeo 2004, Stern School of Business, NYU.
Bansal and Yaron 2005*, Risks for the
Long Run: A Potential Resolution of Asset Pricing Puzzles, Journal of Finance,
forthcoming.
Dolmas and Wynne
(1998)*, “Risk Preferences and the Welfare Cost of Business Cycles”, Review
of Economic Dynamics, 1, 1998.
Kimball and Weil
(2003)*, “Precautionary Saving and Consumption Smoothing Across Time and
Possibilities”, mimeo.
Shi (1994)*, “Weakly Nonseparable
Preferences and Distortionary Taxes in a Small Open Economy”, International
Economic Review, Nov., 1994.
Schmitt-Grohe and Uribe (2003)*, “Closing small open economy models”, Journal of International Economics, October 2003.
Starmer (2000)* “Developments in Non-Expected Utility Teory:
The Hunt for a Descriptive Theory of Choice under Risk”, Journal of Economic
Literature, June,2000.
Weil (1990)*, “Nonexpected
Utility in Macroeconomics”, Quarterly Journal of Economics, Feb., 1990
Weil (1989)*, “The Equity
Premium Puzzle and the Risk-Free Rate Puzzle”, Journal of Monetary Economics,
24, 1989.
Kreps an
Porteus (1978), “Temporal Resolution of Uncertainty and Dynamic Choice
Theory”, Econometrica, Jan., 1978.
Johnsen and Donaldson (1985),
“The Structure of Intertemporal Preferences under Uncertainty and Time
Consistent Plans”, Econometrica, Nov. 1985.
Koopmans (1960), “Stationary
Ordinal Utility and Impatience”, Econometrica, April 1960.
Epstein and Zin (1989),
“Substitution, Risk Aversion, and the Temporal Behavior of Consumption and
Asset Returns: A Theoretical Framework”, Econometrica, July, 1989.
Epstein and Zin (1991),
“Substitution, Risk Aversion, and the Temporal Behavior of Consumption and
Asset Returns: An Empirical Analysis”, Journal of Political Economy, April,
1991.
Farmer (1990) , “Rince Preferences”, Quarterly Journal
of Economics, Feb., 1990.
Benzoni, Luca; Collin-Dufresne,
Pierre; Goldstein, Robert S., “Can Standard Preferences Explain the Prices
of out of the Money S&P 500 Put Options” NBER Working Papers: 11861
Alonso
(2005)*, “Ambiguity in a two-country world”, mimeo,
Epstein (2001)*, “Sharing Ambiguity”, American
Economic Review, May, 2001.
Epstein and Schneider (2004)*, ”Ambiguity, information quality
and asset pricing”, mimeo,
Mukerji and Tallon (2003)*, “Ambiguity aversion and the absence
of wage indexation”, Journal of Monetary Economics, 51, 2004.
Dow and Werlang (1992),
“Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio”,
Econometrica, Jan. 1992.
Gilboa Schmeidler
(1989), “Maximin Expected Utility with Non-Unique
Prior”, Journal of Mathematical Economics, 18, 1989.
Amador
and Werning (2003)*, “Commitment vs. Flexibility”, NBER WP 1051, Dec., 2003.
Barro (1999)*,
“Ramsey Meets Laibson in the Neoclassical Growth Model”,
Laibson (1997)*, Golden Eggs and Hyperbolic Discounting, QJE, 112:2, May, 1997.
Krusell, Kuruscu and Smith (2005)*,
“Temptation and Taxation”, mimeo,
Gul and Pesendorfer (2001), “Temptation and Self-Control”, Econometrica, Nov., 2001.
Campbell and Cochrane (1999)*,
“By force of Habits”, A consumption-Based Explanation of Aggregate Stock-Market
Behavior”, Journal of Political Economy, 107, 1999.
Abel (1991), “Asset Pricing under
habit formation and keeping up with the Joneses”, NBER WP 3279
Ravn, Schmitt-Grohe and Uribe (2004)*,
“Deep Habits”, mimeo, European University Institute.
Gali (1994), ”Keeping up with the Joneses: Consumption Externalities, Portfolio Choice and Asset Prices”, Journal of Money, Credit and Banking, Feb., 1994.
Lettau and Uhlig (2000)*, ”Can Habit Formation Be Reconciled with Business Cycle Facts?”, Review of Economic Dynamics, Jan., 2000.
Boldrin, Christiano and Fisher* (2001), “Habit Persistence, Asset Returns, and the Business Cycle”, American Economic Review, March, 2001.
Gruber and
Koszegi (2001), ” Is addiction “rational”?: Theory and evidence”, QJE, Nov. 2001.
Krusell and
Stavlöt (2005)*, Origins of the Diversity of Culture Consumption, Ph.D.
Thesis, IIES.,
Rabin (2000)*, “Risk aversion
and Expected Utility Theory: A Calibration Theorem”, Econometrica, Sep. 2000.
Benartzi and Thaler (1995)*
,“Myopic Loss Aversion and the Equity Premium Puzzle”,Quarterly Journal of
Economics, Feb. 1995.
Bowman, Minehart and Rabin (1999)*, “Loss
aversion in a consumption-savings model”,
Journal of Economic Behavior & Organization
Vol. 38
(1999).
Koszegi, Botond and Mathew Rabin*, (2007), A model of Reference-Dependent Preferences, Quarterly Journal of Economics, forthcoming.
Hassler, John and José V. Rodríguez Mora*, Political Commitment and Loss-Aversion, mimeo, IIES.