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This paper provides evidence on the degree of persistence of one of the key components of the CAPM, namely the market risk premium, as well as its volatility. The analysis applies fractional integration methods to data for the US, Germany and Japan, and for robustness purposes considers...
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all variables proposed by theory, despite a broad set of fixed effects (FE). We find that both REERs are important and … multilateral resistances. Untangling normalization helps to get a better view of what is still unexplained by theory. …
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produced after the Second World War. (2) Microeconometrics improved on aggregate time-series methods by building models that … field is the diversity and heterogeneity of behavior. This heterogeneity has profound consequences for economic theory and …
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