Showing 1 - 10 of 92
This paper studies the behavior of the default-risk-free real term structure and term premia in two general equilibrium endowment economies with complete markets but without money. In the first economy there are no frictions as in Lucas (1978) and in the second risk-sharing is limited by the...
Persistent link: https://www.econbiz.de/10005648948
We study the rejection of the expectations hypothesis within a New Keynesian business cycle model. Earlier research has shown that the Lucas general equilibrium asset pricing model can account for neither sign nor magnitude of average risk premia in forward prices, and is unable to explain...
Persistent link: https://www.econbiz.de/10005648886
Within a New Keynesian business cycle model, we study variables that are normally unobservable but are very important for the conduct of monetary policy, namely expected inflation and inflation risk premia. We solve the model using a third-order approximation that allows us to study time-varying...
Persistent link: https://www.econbiz.de/10005648925
We study the term structure implications of the fiscal theory of price level determination. We introduce the intertemporal budget constraint of the government in a general equilibrium model in continuous time. Fiscal policy is set according to a simple rule whereby taxes react proportionally to...
Persistent link: https://www.econbiz.de/10005648966
relate to investment performance and mortality/longevity development. We first develop stochastic models for equity and bond … takes into account the empirical observations of infrequent exceptionally large losses. The 5-year US government bond yearly …
Persistent link: https://www.econbiz.de/10011019137
We estimate a non-parametrical Capital Asset Pricing Model (CAPM) and find strong evidence rejecting the classical … linear CAPM. Furthermore, we find inconsistent linear betas for a series of stocks in the Colombian stock exchange (BVC …), supporting the hypothesis of a better and consistent fitting of non-parametrical versions of the CAPM. …
Persistent link: https://www.econbiz.de/10010763661
. However, the beta parameter of the Capital Asset Pricing Model (CAPM) is invariant to the holding period. Such contradiction … fixes the CAPM´s bias resulting from this abiding -but flawed- assumption. The proposed procedure is based on Greene and … Fielitz (1980) seminal work on the application of fractional Brownian motion to CAPM, and on a revised technique for …
Persistent link: https://www.econbiz.de/10010763678
neutralidad del horizonte de tiempo en el CAPM, estimando el efecto cuantitativo de la existencia de dependencia de largo plazo en …
Persistent link: https://www.econbiz.de/10009325836
is to identify the relationship between this perception and long-term bond rates. For German data, the use of a two …
Persistent link: https://www.econbiz.de/10005423721
We estimate the interdependence between US monetary policy and the S&P 500 using structural VAR methodology. A solution is proposed to the simultaneity problem of identifying monetary and stock price shocks by using a combination of short-run and long-run restrictions that maintains the...
Persistent link: https://www.econbiz.de/10005423727