The Theory of Matrices. By F R. Gantmacher. Two volumes, pp. 374 and 276. 1959. (Translated from the Russian by K. A. Hirsch; Chelsea Publishing Company, New York)

The theory of precautionary saving is shown in this paper to be isomorphic to the Arrow-Pratt theory of risk aversion, making possible the application of a large body of knowledge about risk aversion to precautionary saving, and more generally, to the theory of optimal choice under risk In particular, a measure of the strength of precautionary saving motive analogous to the Arrow-Pratt measure of risk aversion is used to establish a number of new propositions about precautionary saving, and to give a new interpretation of the Oreze-Modigliani substitution effect

Precautionary Saving in the Small and in the Large

Forward exchange rate unbiasedness is rejected in tests from the current floating exchange rate era. This paper surveys advances in this area since the publication of Hodrick's (1987) survey. It documents that the change in the future exchange rate is generally negatively related to the forward discount. Properties of the expected forward forecast error are reviewed. Issues such as the relation of uncovered interest parity to real interest parity, and the implications of uncovered interest parity for cointegration of various quantities are discussed. The modeling and testing for risk premiums is surveyed. Included in this area are tests of the consumption CAPM, tests of the latent variable model, and portfolio-balance models of risk premiums. General equilibrium models of the risk premium are examined and their empirical implications explored. The survey does not cover the important areas of learning and peso problems, tests of rational expectations based on survey data, or the models of irrational expectations and speculative bubbles.

https://papers.ssrn.com/sol3/Delivery.cfm/nber_w5312.pdf?abstractid=225376&mirid=1

The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence

https://www.ssc.wisc.edu/~cengel/PublishedPapers/RiskPremiumSurvey.pdf

The forward discount anomaly and the risk premium: A survey of recent evidence

Asset returns and inflation

Taxes, uncertainty, and long-term growth

Bakshi and Chen (1996) suggest that the spirit of capitalism affects stock prices by increasing society's aversion to risk. In this article, I show that the way in which the spirit of capitalism impinges upon asset prices depends on the interaction of impatience, willingness to substitute over time, and ordinal preferences between consumption and status, in addition to risk aversion. I develop a general model that charts the channels through which the spirit of capitalism affects asset prices. An increase in the capitalist spirit may increase or decrease risk aversion, and may actually decrease the prices of risky assets. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.

How Does the Spirit of Capitalism Affect Stock Market Prices

It pays to be different: Endogenous heterogeneity of firms in an oligopoly

This paper considers the canonical stochastic growth model with CRRA utility and Cobb-Douglas technology. It obtains a closed-form solution for the case where capital's share is equal to the reciprocal of the intertemporal elasticity of substitution. This provides a useful benchmark that illuminates the transmission mechanism under uncertainty. In particular, it highlights the complicated ways in which risk and nonlinearities interact, via Jensen's inequality, to affect the steady state capital stock.

William T. Smith

Papers

Taxes, uncertainty, and long-term growth

How Does the Spirit of Capitalism Affect Stock Market Prices

It pays to be different: Endogenous heterogeneity of firms in an oligopoly

Inspecting the Mechanism Exactly: A Closed-form Solution to a Stochastic Growth Model

Equilibrium consumption and precautionary savings in a stochastically growing economy