Habit persistence and asset returns in an exchange economy

We examine asset prices and returns in the context of a version of the pure exchange economy studied in Lucas (1978) and Mehra and Prescott (1985). Our purpose is to identify the key channels by which changes in preferences affect the equity premium and the risk free rate and to develop intuition that is useful for understanding asset pricing in more complicated economies. Our analysis suggests that capital gains play a crucial role in generating empirically plausible mean equity premia.Capital assets pricing model ; Risk

Asset pricing lessons for modeling business cycles

We develop a model which accounts for the observed equity premium and average risk-free rate, without implying counterfactually high risk aversion. The model also does well in accounting for business-cycle phenomena. With respect to the conventional measures of business-cycle volatility and comovement with output, the model does roughly as well as the standard business-cycle model. On two other dimensions, the model’s business-cycle implications are actually improved. Its enhanced internal propagation allows it to account for the fact that there is positive persistence in output growth, and the model also provides a resolution to the “excess sensitivity puzzle” for consumption and income. Two key features of the model are habit persistence preferences and a multisector technology with limited intersectoral mobility of factors of production.Capital assets pricing model ; Business cycles

UNAFLOW project: UNsteady Aerodynamics of FLOating Wind turbines

UNAFLOW (UNsteady Aerodynamics for Floating Wind) is a joint EU-IRPWIND founded experiment on wind turbine rotor unsteady aerodynamics. It brings together four different academic contributors: Energy research Centre of the Netherlands (ECN), DTU Wind Energy, University of Stuttgart (USTUTT) and Politecnico di Milano (PoliMi) sharing knowledge both in numerical modelling and in experimental tests design, allowing direct numerical and experimental comparison. The experimental tests carried out for UNAFLOW are of the same type of the ones carried out during the ongoing EU H2020 project LIFES50+ [1], regarding both the unsteady behaviour of the 2d blade section and the entire turbine rotor, although with improved setup and wider test matrix. The project partners are already currently jointly collaborating in the AVATAR project [2], developing and validating numerical models of different accuracy level. The numerical models used in the UNALFOW project range from engineering tool (eg. BEM) to high fidelity CFD methods. Numerical simulations are used both in the design of experiment phase and in the results analysis allowing for an in depth understanding of the experimental findings through advanced modelling approach. The UNAFLOW project, together with a new understanding of the unsteady behaviour of the turbine rotor aerodynamics, will provide also an open database to be shared among the scientific community for future analysis and new models validation

HABIT PERSISTENCE AND ASSET RETURNS IN AN EXCHANGE ECONOMY

We examine asset prices and returns in the context of a pureexchange economy. Our purpose is to identify the key channels by which changes in preferences affect the equity premium and the risk-free rate and to develop intuition that is useful for understanding asset pricing in more complicatedeconomies. Our analysis suggests that capital gains play a crucial role ingenerating empirically plausible mean equity premia.

Habit formation and the equity–premium puzzle: a skeptical view

Equity premium, Risk-free interest rate, Habit formation, G0, G1,