Showing 11 - 20 of 524
We propose two metrics for asset pricing models and apply them to representative agent models with recursive preferences, habits, and jumps. The metrics describe the pricing kernel's dispersion (the entropy of the title) and dynamics (time dependence, a measure of how entropy varies over...
Persistent link: https://www.econbiz.de/10013122464
We propose two metrics for asset pricing models and apply them to representative agent models with recursive preferences, habits, and jumps. The metrics describe the pricing kernel’s dispersion (the entropy of the title) and dynamics (time dependence, a measure of how entropy varies over...
Persistent link: https://www.econbiz.de/10013092682
We inject aggregate uncertainty - risk and ambiguity - into an otherwise standard business cycle model and describe its consequences. We find that increases in uncertainty generally reduce consumption, but they do not account, in this model, for either the magnitude or the persistence of the...
Persistent link: https://www.econbiz.de/10013050286
Prices of riskfree bonds in any arbitrage-free environment are governed by a pricing kernel: given a kernel, we can compute prices of bonds of any maturity we like. We use observed prices of multi-period bonds to estimate, in a log-linear theoretical setting, the pricing kernel that gave rise to...
Persistent link: https://www.econbiz.de/10013233743
Persistent link: https://www.econbiz.de/10003994962
Persistent link: https://www.econbiz.de/10009237633
Persistent link: https://www.econbiz.de/10009259677
Persistent link: https://www.econbiz.de/10010211815
Persistent link: https://www.econbiz.de/10010393986
Persistent link: https://www.econbiz.de/10010372429