Showing 1 - 10 of 549
the shocks to the overall volatility, and the welfare implications of regime changes in general equilibrium models. Then … suitable for structural estimation. …
Persistent link: https://www.econbiz.de/10011083330
, Good Beta" Intertemporal CAPM that allows for regime changes. …
Persistent link: https://www.econbiz.de/10011213314
This paper explores the effects of the US business cycle on US stock market returns through an analysis of the equity risk premium. We propose a new methodology based on the SDF approach to asset pricing that allows us to uncover the different effects of aggregate demand and supply shocks. We...
Persistent link: https://www.econbiz.de/10005791523
return volatility. We argue that SDF theory implies that this relation is misconceived. …-arbitrage condition, despite the vast literature on the subject. This is mainly due to the difficulties of estimation. Using the … CAPM including time-separable power utility and time-nonseparable Epstein-Zin utility. We also show why many of the …
Persistent link: https://www.econbiz.de/10005792185
ongoing, inflation uncertainty seems to play a large role. Finally, while modern finance theory prices bonds and other assets …
Persistent link: https://www.econbiz.de/10008642882
This Paper proposes a structural time series model for the intra-day price dynamics of fragmented financial markets. We generalize the structural model of Hasbrouck (1993) to a multivariate setting. We discuss identification issues and propose a new measure for the contribution of each market to...
Persistent link: https://www.econbiz.de/10005791339
This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance … first regime characterized by low ex-post returns and high volatility, the risk-return relation is reversed, whereas the …
Persistent link: https://www.econbiz.de/10011083264
that help address questions such as the slope of bond demand functions and the efficacy of central bank liquidity programs …
Persistent link: https://www.econbiz.de/10011084634
This paper studies the pricing of financial assets in a complete general equilibrium set-up. We begin with an asset pricing model à la Lucas grafted on a standard Real Business Cycles model. We provide a new decentralized interpretation of such a model in which firms make meaningful investment...
Persistent link: https://www.econbiz.de/10005504725
simple theory of asset pricing in which demand shocks play a central role. These shocks give rise to valuation risk that … allows the model to account for key asset pricing moments, such as the equity premium, the bond term premium, and the weak …
Persistent link: https://www.econbiz.de/10011083589