Asset Pricing in the International Economy and the Specification of Random Disturbances PDF Download
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Author: José M. Barrionuevo
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 204
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Book Description
Author: José M. Barrionuevo
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 204
Get Book Here
Book Description
Author: Mr.José M. Barrionuevo
Publisher: International Monetary Fund
ISBN: 1451843186
Category : Business & Economics
Languages : en
Pages : 46
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Book Description
This paper presents a statistical and economic interpretation of the low and often economically implausible risk aversion estimates obtained for fixed income assets throughout the finance literature. For a statistical interpretation, Monte Carlo simulations are used to demonstrate that specification errors introduce a serious downward bias in parameter estimates derived from the standard asset pricing model. For an economic interpretation, an international version of the asset pricing model is presented. The model suggests that by reducing the effect of country specific disturbances, an international measure of consumption growth yields more accurate risk aversion estimates than a national measure. The results of asset pricing tests suggest that risk aversion estimates derived from models constructed for the international measures are economically plausible and close to each other across eight industrialized economies. These results are robust for several asset returns.
Author: José Barrionuevo
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
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Book Description
This paper presents a statistical and economic interpretation of the low and often economically implausible risk aversion estimates obtained for fixed income assets throughout the finance literature. For a statistical interpretation, Monte Carlo simulations are used to demonstrate that specification errors introduce a serious downward bias in parameter estimates derived from the standard asset pricing model. For an economic interpretation, an international version of the asset pricing model is presented. The model suggests that by reducing the effect of country specific disturbances, an international measure of consumption growth yields more accurate risk aversion estimates than a national measure. The results of asset pricing tests suggest that risk aversion estimates derived from models constructed for the international measures are economically plausible and close to each other across eight industrialized economies. These results are robust for several asset returns.
Author: David T. Coe
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author:
Publisher:
ISBN:
Category : Finance
Languages : en
Pages : 894
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Book Description
Author: René Garcia
Publisher: Montréal : CIRANO
ISBN:
Category :
Languages : en
Pages : 27
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Book Description
Author: Maral Kichian
Publisher:
ISBN:
Category :
Languages : fr
Pages : 27
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Book Description
Author: Kenneth J. Singleton
Publisher:
ISBN: 9781282608030
Category : BUSINESS & ECONOMICS
Languages : en
Pages : 0
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Book Description
Author: Lorenzo Giorgianni
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 28
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Book Description
This paper presents a method to test the volatility predictions of the textbook asset-pricing exchange rate model, which imposes minimal structure on the data and does not commit to a choice of exchange rate “fundamentals.” Our method builds on existing tests of excess volatility in asset prices, combining them with a procedure that extracts unobservable fundamentals from survey-based exchange rate expectations. We apply our method to data for the three major exchange rates since 1984 and find broad evidence of excess exchange rate volatility with respect to the predictions of the canonical asset-pricing model in an efficient market.
Author: Forrest Capie
Publisher: Palgrave Macmillan
ISBN: 9780312129835
Category : Business & Economics
Languages : en
Pages : 286
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Book Description
The recession which many countries experienced in the early 1990s had certain unusual aspects. Most notably, and common to all countries, was the behaviour of asset prices relative to the general price level. In consequence, reasons were sought to explain the special characteristics of the recession, and as a result of the behaviour of asset prices attention was turned to debt-deflation theories associated in different forms with John Maynard Keynes and Irving Fisher. The contributors to this volume discuss the significance of debt deflation. Their striking common feature is that, on the evidence presented here, the behaviour of asset prices should not be of great concern to policy-makers, or to those attempting to understand economic behaviour. However, residual doubts remain over the Japanese case.
