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Testing CAPM with a large number of assets
Pesaran, Hashem; Yamagata, Takashi - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to … evidence against Sharpe-Lintner CAPM is found mainly during the recent financial crisis. Furthermore, a strong negative …
Persistent link: https://www.econbiz.de/10010282392
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On identification of Bayesian DSGE models
Koop, Gary; Pesaran, Hashem; Smith, Ron P. - 2011
In recent years there has been increasing concern about the identification of parameters in dynamic stochastic general equilibrium (DSGE) models. Given the structure of DSGE models it may be difficult to determine whether a parameter is identified. For the researcher using Bayesian methods, a...
Persistent link: https://www.econbiz.de/10010278760
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Testing CAPM with a Large Number of Assets
Pesaran, M. Hashem; Yamagata, Takashi - Institute for the Study of Labor (IZA) - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to … evidence against Sharpe-Lintner CAPM is found mainly during the recent financial crisis. Furthermore, a strong negative …
Persistent link: https://www.econbiz.de/10010550527
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Private information, human capital, and optimal 'home bias' in financial markets
Ehrlich, Isaac; Shin, Jong Kook; Yin, Yong - 2011
By allowing for imperfectly informed markets and the role of private information, we offer new insights about observed deviations of portfolio concentrations in domestic relative to foreign risky assets, or home bias, from what standard finance models predict. Our model ascribes the bias to...
Persistent link: https://www.econbiz.de/10010286893
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Efficient probit estimation with partially missing covariates
Conniffe, Denis; O'Neill, Donal - 2009
A common approach to dealing with missing data is to estimate the model on the common subset of data, by necessity throwing away potentially useful data. We derive a new probit type estimator for models with missing covariate data where the dependent variable is binary. For the benchmark case of...
Persistent link: https://www.econbiz.de/10010269313
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An alternative explanation for the variation in reported estimates of risk aversion
Conniffe, Denis; O'Neill, Donal - 2012
There is a large literature estimating Arrow-Pratt coefficients of absolute and relative risk aversion. A striking feature of this literature is the very wide variation in the reported estimates of the coefficients. While there are often legitimate reasons for these differences in the estimates,...
Persistent link: https://www.econbiz.de/10010289966
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On Identification of Bayesian DSGE Models
Koop, Gary; Pesaran, Hashem; Smith, Ron P. - Institute for the Study of Labor (IZA) - 2011
In recent years there has been increasing concern about the identification of parameters in dynamic stochastic general equilibrium (DSGE) models. Given the structure of DSGE models it may be difficult to determine whether a parameter is identified. For the researcher using Bayesian methods, a...
Persistent link: https://www.econbiz.de/10008924613
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Macroeconomic Impacts of Canadian Immigration: Results from a Macro-Model
Dungan, Peter; Fang, Tony; Gunderson, Morley - Institute for the Study of Labor (IZA) - 2012
We use a macro-econometric forecasting model to simulate the impact on the Canadian economy of a hypothetical increase in immigration. Our simulations generally yield positive impacts on such factors as real GDP and GDP per capita, aggregate demand, investment, productivity, and government...
Persistent link: https://www.econbiz.de/10010734758
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An Empirical Growth Model for Major Oil Exporters
Esfahani, Hadi Salehi; Mohaddes, Kamiar; Pesaran, M. Hashem - Institute for the Study of Labor (IZA) - 2012
-run output equation with a coefficient equal to the share of capital (α). The long-run theory is tested using quarterly data on … results support the long-run theory. The existence of long-run relations between real output, foreign output and real oil … steadily over the past three decades, the theory suggests that the effect of oil income on the economy's steady state growth …
Persistent link: https://www.econbiz.de/10010550529
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The Japanese Lost Decade and Beyond: A Chain Reaction Theory Approach
Agnese, Pablo - Institute for the Study of Labor (IZA) - 2011
The Japanese lost decade has become an intriguing puzzle for both economists and policy-makers alike, as the unemployment rate climbed to unprecedented levels and the growth rate of productivity decreased considerably. More recent times seem to present with a more optimistic outlook, but this is...
Persistent link: https://www.econbiz.de/10008836681