Showing 1 - 10 of 29
This paper reexamines the small sample properties of Hansen's (1982) Generalized Method of Moments (GMM) and Hansen and Jagannathan's (1989) estimation-free tests on simulated data from a more plausible consumption based asset pricing model. Previous studies are incomplete and misleading. A...
Persistent link: https://www.econbiz.de/10005360557
Recent research showing negative correlations between detrended output and prices during the postwar period has brought … into question the conventional wisdom that prices are procyclical. However, this finding has been shown to be sensitive to … the sample period considered. This paper examines the relationship between output and prices in the frequency domain …
Persistent link: https://www.econbiz.de/10005360577
prices. Applications to value-at-risk and portfolio choice calculations illustrate the importance of using arbitrage …
Persistent link: https://www.econbiz.de/10005360595
This paper presents empirical evidence on the hypothesis that aggregate price disturbances cause or worsen financial distress. We construct two annual indexes of financial conditions for the United States covering 1790-1997, and estimate the effect of aggregate price shocks on each index using a...
Persistent link: https://www.econbiz.de/10005360618
This paper explores the theoretical relationship between the population growth rate and asset prices implied by an … overlapping-generations model. The model shows that changes in a population's age distribution affect asset prices but such … changes generate low frequency movements in asset prices. The model also shows that the treatment of expectations matter; a …
Persistent link: https://www.econbiz.de/10005360624
One key stylized fact in the empirical option pricing literature is the existence of an implied volatility surface (IVS). The usual approach consists of fitting a linear model linking the implied volatility to the time to maturity and the moneyness, for each cross section of options data....
Persistent link: https://www.econbiz.de/10005360646
It is common practice to estimate the response of asset prices to monetary policy actions using market-based measures …
Persistent link: https://www.econbiz.de/10005077869
This paper argues that the positive relationship between the level of prices and interest rates noted by Gibson arises …, in part, because measured prices indexes, which are comprised primarily of the prices of short-lived consumption goods …
Persistent link: https://www.econbiz.de/10005352788
This paper examines several specification errors in the M2-based P* model and develops an M1-based estimate of this model. The apparent statistical significance of M2 is shown to arise from a spurious regression that uses a non-stationary regressor and because the significance test for M2 is...
Persistent link: https://www.econbiz.de/10005352827
This paper investigates the impact historically of aggregate price shocks on financial stability in the United Kingdom. We construct an annual index of U.K. financial conditions for 1790-1999 and use a dynamic probit model to estimate the effect of aggregate price shocks on the index. We find...
Persistent link: https://www.econbiz.de/10005352840