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Macroeconomic Risks and Asset Pricing : Evidence from a Dynamic Stochastic General Equilibrium Model

Li, Erica X. N. - 2018

variables and extract the time-series of four latent fundamental shocks of the model: neutral technology shock, investment …-specific technological shock, monetary policy shock, and risk shock. Asset pricing tests show that our model-implied four-factor model can …-term reversal. The investment-specific technological shock and risk shock play the most important role in explaining those return …

Persistent link: https://www.econbiz.de/10012933804

The endo-exo problem in high frequency financial price fluctuations and rejecting criticality

Wheatley, Spencer; Wehrli, Alexander; Sornette, Didier - 2018

The endo-exo problem lies at the heart of statistical identi fication in many fields of science, and is often plagued by spurious strong-and-long memory due to improper treatment of trends, shocks and shifts in the data. A class of models that has shown to be useful in discerning exogenous and...

Persistent link: https://www.econbiz.de/10011900335

Are asset price data informative about news shocks? : a DSGE perspective

Iskrev, Nikolay - 2018

Standard economic intuition suggests that asset prices are more sensitive to news than other economic aggregates. This has led many researchers to conclude that asset price data would be very useful for the estimation of business cycle models containing news shocks. This paper shows how to...