Asset pricing and macroeconomic risk:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2005
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 189 S. graph. Darst. |
Internformat
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Datensatz im Suchindex
| _version_ | 1804135016255455232 |
|---|---|
| adam_text | Contents
1 Introduction 9
1.1 Overview of thesis 9
1.2 What is new 13
2 Asset pricing challenges 17
2.1 The Equity Premium Puzzle 18
2.2 The risk free rate puzzle 23
2.3 Excess volatility and return predictability . 24
2. 1 Hansen Jagannathan Bounds 33
3 Potential modifications 37
3.1 Outlook 37
3.2 Alternative utility functions 38
3.2.1 Generalized Expected Utility 38
3.2.2 Habit Formation 10
3.3 Incomplete Markets 4G
3.3.1 Transaction Cost 18
3.3.2 The Peso Problem 19
4 Production based models 51
4.1 The baseline RBC model 51
4.1.1 Macroeeononiie statistics 54
4.1.2 Financial Statistics 56
4.2 Risk sharing labor contracts 57
4.2.1 The Model 58
4.2.2 Discussion of the results 59
2 CONTENTS
4.3 Models with habits 60
4.3.1 A model with fixed labor supply 61
4.3.2 Making labor supply flexible 63
4.4 Limited Participation, the model of Guvenen 65
4.4.1 The Model 66
4.4.2 Discussion of the results 68
5 Empirical relations 71
5.1 Stability of the cyclical properties 73
5.1.1 The long run perspective 73
5.1.2 The postwar period 77
5.2 Relation to asset pricing 78
5.3 Regime models of the economy 82
5.3.1 Markov chains 83
5.3.2 Process specifications 84
5.3.3 Estimation 87
5.3.4 Results 90
5.3.5 Comparison to Classical Tests 93
5.3.6 Relation to Asset Pricing 91
6 Standard Preferences 101
G.I The model economy 102
6.2 Equilibrium 104
6.3 Dynamics of the agents beliefs 106
6.4 Prices and returns 108
6.4.1 Analytical solutions 108
6.4.2 Economic determinants 112
6.5 Data and calibration 120
G.6 Numerical results 122
6.6.1 The single state case 122
6.6.2 Specification A 123
6.6.3 Specification B 128
6.6.4 Specification C 128
6.7 Conclusion 133
6.A Proofs I34
CONTENTS 3
7 Epstein Zin Preferences 139
7.1 The single state case 112
7.2 Results 1 1G
7.2.1 The single state case 140
7.2.2 Specification A 147
7.2.13 Specification B 1 18
7.2.1 Specification C 151
7.3 Comparison with other research 150
7.4 Outlook 1G0
7.A Derivations 1G1
7.B Proofs 103
7.C Solution algorithms KM
A MCMC Algorithm 167
List of Figures
1.1 GDP volatility and the price dividend ratio 11
1.2 Preview: Simulated postwar price dividend ratio vs. data
(specification C, power utility) 12
1.3 Preview: Simulated postwar price dividend ratio vs. data
(specification C, Epstein Zin preferences) 14
2.1 Historical fundamental price ratios 27
2.2 Annual growth rates of earnings and dividends 28
2.3 Earnings price ratios and filtered earnings series 30
2.4 Breakdown of forecasting power in the late 1990s 33
2.5 A Hansen Jagannathan bound 34
4.1 Determination of risk free rate volatility (Guvenen, 2003) . . 70
5.1 International quarterly GDP growth rates 76
5.2 Business cycle dampening, GDP 79
5.3 Business cycle dampening, consumption 80
5.4 GDP volatility and the valuation ratios 81
5.5 GDP growth rates and the valuation ratios 82
5.0 State probabilities and valuation ratios 91
0.1 Risk premia and the leverage parameter (power utility) . . . 114
G.2 Predicted price dividend ratio and the mean consumption
growth rate (power utility) 115
6.3 Graph of an almost non ergodic Markov chain 119
6.4 Simulated postwar price dividend ratio vs. data (specifica¬
tion A, power utility) 125
LIST OF FIGURES
G.5 Simulated postwar price dividend ratio vs. data (specifica¬
tion C, power utility) 131
7.1 Simulated postwar price dividend ratio vs. data (specifica¬
tion A, Epstein Zin) 150
7.2 Simulated postwar price dividend ratio vs. data (specifica¬
tion C, Epstein Zin) 154
A.I Prior and posterior probabilities for the mean 169
A.2 Convergence of the Gibbs sampler 172
List of Tables
2.1 Mehra/Preseott data: summary statistics 18
2.2 Equivalent variations 22
2.3 Parameter choices and predicted returns 24
2.4 Predictability of excess returns. (Fraction of variation ex¬
plained by regression; significance level at which the null of
no predictability can be rejected is given in parenthesis.) ... 31
4.1 Macroeeonomic statistics (Hansen s Model) 54
4.2 Financial statistics (Hansen s model) 56
4.3 Financial and macroeeonouiie statistics (Danthine and Don¬
aldson, 2002) GO
4.4 Financial and macroeeonomic statistics (Jermann, 1998) ... 63
4.5 Financial and macroeeonomic statistics I (Boldrin et al., 2001) 64
4.6 Financial and macroeeonomic statistics II (Boldrin et al., 2001) 66
4.7 Financial statistics (Guvenen, 2003) 68
5.1 International business cycles. The first three columns shows
the standard deviation of yearly GDP growth rates. The two
last columns show the confidence levels at which we can reject
that the standard deviations in the latest period is different
from that in each of the two earlier periods 75
5.2 Regression results, regime switching models for GDP 92
5.3 Results, structural break in the postwar data 94
5.4 Regression results, valuation ratios and state probabilities . . 95
5.5 Small sample critical values 97
5.6 Fitted model prices 98
7
8 LIST OF TABLES
6.1 Parameters of tlie consumption process 121
6.2 Predicted returns, single state specification (po ver utility) . ¦ 122
6.3 Predicted returns, specification A (power utility) 123
6.4 State prices, specification A (power utility) 126
6.5 Predicted returns, specification B (power utility) 127
6.6 State prices, specification B (power utility) 12 J
6.7 State prices, specification C (power utility) 130
6.8 Predicted returns, specification C (power utility) 132
6.9 Monte Carlo evidence on returns (power utility) 133
7.1 Predicted returns, single state specification (Epstein Zin) . . 146
7.2 Predicted returns, specification A (Epstein Zin) 148
7.3 State prices, specification A (Epstein Zin) 149
7.4 Predicted returns, single state specification B (Epstein Zin) . 150
7.5 State prices, specification B (Epstein Zin) 152
7.6 State prices, specification C (Epstein Zin) 153
7.7 Predicted returns, specification C (Epstein Zin) 156
7.8 Predicted returns, specification C (Epstein Zin total con¬
sumption expenditures) 159
|
| adam_txt |
Contents
1 Introduction 9
1.1 Overview of thesis 9
1.2 What is new 13
2 Asset pricing challenges 17
2.1 The Equity Premium Puzzle 18
2.2 The risk free rate puzzle 23
2.3 Excess volatility and return predictability .' 24
2. 1 Hansen Jagannathan Bounds 33
3 Potential modifications 37
3.1 Outlook 37
3.2 Alternative utility functions 38
3.2.1 Generalized Expected Utility 38
3.2.2 Habit Formation 10
3.3 Incomplete Markets 4G
3.3.1 Transaction Cost 18
3.3.2 The Peso Problem 19
4 Production based models 51
4.1 The baseline RBC model 51
4.1.1 Macroeeononiie statistics 54
4.1.2 Financial Statistics 56
4.2 Risk sharing labor contracts 57
4.2.1 The Model 58
4.2.2 Discussion of the results 59
2 CONTENTS
4.3 Models with habits 60
4.3.1 A model with fixed labor supply 61
4.3.2 Making labor supply flexible 63
4.4 Limited Participation, the model of Guvenen 65
4.4.1 The Model 66
4.4.2 Discussion of the results 68
5 Empirical relations 71
5.1 Stability of the cyclical properties 73
5.1.1 The long run perspective 73
5.1.2 The postwar period 77
5.2 Relation to asset pricing 78
5.3 Regime models of the economy 82
5.3.1 Markov chains 83
5.3.2 Process specifications 84
5.3.3 Estimation 87
5.3.4 Results 90
5.3.5 Comparison to Classical Tests 93
5.3.6 Relation to Asset Pricing 91
6 Standard Preferences 101
G.I The model economy 102
6.2 Equilibrium 104
6.3 Dynamics of the agents' beliefs 106
6.4 Prices and returns 108
6.4.1 Analytical solutions 108
6.4.2 Economic determinants 112
6.5 Data and calibration 120
G.6 Numerical results 122
6.6.1 The single state case 122
6.6.2 Specification A 123
6.6.3 Specification B 128
6.6.4 Specification C 128
6.7 Conclusion 133
6.A Proofs I34
CONTENTS 3
7 Epstein Zin Preferences 139
7.1 The single state case 112
7.2 Results 1 1G
7.2.1 The single state case 140
7.2.2 Specification A 147
7.2.13 Specification B 1 18
7.2.1 Specification C 151
7.3 Comparison with other research 150
7.4 Outlook 1G0
7.A Derivations 1G1
7.B Proofs 103
7.C Solution algorithms KM
A MCMC Algorithm 167
List of Figures
1.1 GDP volatility and the price dividend ratio 11
1.2 Preview: Simulated postwar price dividend ratio vs. data
(specification C, power utility) 12
1.3 Preview: Simulated postwar price dividend ratio vs. data
(specification C, Epstein Zin preferences) 14
2.1 Historical fundamental price ratios 27
2.2 Annual growth rates of earnings and dividends 28
2.3 Earnings price ratios and filtered earnings series 30
2.4 Breakdown of forecasting power in the late 1990s 33
2.5 A Hansen Jagannathan bound 34
4.1 Determination of risk free rate volatility (Guvenen, 2003) . . 70
5.1 International quarterly GDP growth rates 76
5.2 Business cycle dampening, GDP 79
5.3 Business cycle dampening, consumption 80
5.4 GDP volatility and the valuation ratios 81
5.5 GDP growth rates and the valuation ratios 82
5.0 State probabilities and valuation ratios 91
0.1 Risk premia and the leverage parameter (power utility) . . . 114
G.2 Predicted price dividend ratio and the mean consumption
growth rate (power utility) 115
6.3 Graph of an almost non ergodic Markov chain 119
6.4 Simulated postwar price dividend ratio vs. data (specifica¬
tion A, power utility) 125
LIST OF FIGURES
G.5 Simulated postwar price dividend ratio vs. data (specifica¬
tion C, power utility) 131
7.1 Simulated postwar price dividend ratio vs. data (specifica¬
tion A, Epstein Zin) 150
7.2 Simulated postwar price dividend ratio vs. data (specifica¬
tion C, Epstein Zin) 154
A.I Prior and posterior probabilities for the mean 169
A.2 Convergence of the Gibbs sampler 172
List of Tables
2.1 Mehra/Preseott data: summary statistics 18
2.2 Equivalent variations 22
2.3 Parameter choices and predicted returns 24
2.4 Predictability of excess returns. (Fraction of variation ex¬
plained by regression; significance level at which the null of
no predictability can be rejected is given in parenthesis.) . 31
4.1 Macroeeonomic statistics (Hansen's Model) 54
4.2 Financial statistics (Hansen's model) 56
4.3 Financial and macroeeonouiie statistics (Danthine and Don¬
aldson, 2002) GO
4.4 Financial and macroeeonomic statistics (Jermann, 1998) . 63
4.5 Financial and macroeeonomic statistics I (Boldrin et al., 2001) 64
4.6 Financial and macroeeonomic statistics II (Boldrin et al., 2001) 66
4.7 Financial statistics (Guvenen, 2003) 68
5.1 International business cycles. The first three columns shows
the standard deviation of yearly GDP growth rates. The two
last columns show the confidence levels at which we can reject
that the standard deviations in the latest period is different
from that in each of the two earlier periods 75
5.2 Regression results, regime switching models for GDP 92
5.3 Results, structural break in the postwar data 94
5.4 Regression results, valuation ratios and state probabilities . . 95
5.5 Small sample critical values 97
5.6 Fitted model prices 98
7
8 LIST OF TABLES
6.1 Parameters of tlie consumption process 121
6.2 Predicted returns, single state specification (po\ver utility) . ¦ 122
6.3 Predicted returns, specification A (power utility) 123
6.4 State prices, specification A (power utility) 126
6.5 Predicted returns, specification B (power utility) 127
6.6 State prices, specification B (power utility) 12'J
6.7 State prices, specification C (power utility) 130
6.8 Predicted returns, specification C (power utility) 132
6.9 Monte Carlo evidence on returns (power utility) 133
7.1 Predicted returns, single state specification (Epstein Zin) . . 146
7.2 Predicted returns, specification A (Epstein Zin) 148
7.3 State prices, specification A (Epstein Zin) 149
7.4 Predicted returns, single state specification B (Epstein Zin) . 150
7.5 State prices, specification B (Epstein Zin) 152
7.6 State prices, specification C (Epstein Zin) 153
7.7 Predicted returns, specification C (Epstein Zin) 156
7.8 Predicted returns, specification C (Epstein Zin total con¬
sumption expenditures) 159 |
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| index_date | 2024-07-02T13:38:43Z |
| indexdate | 2024-07-09T20:33:48Z |
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| language | English |
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| spelling | Brevik, Frode Verfasser aut Asset pricing and macroeconomic risk Frode Brevik 2005 189 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 2005 Preistheorie (DE-588)4115623-7 gnd rswk-swf Aktienmarkt (DE-588)4130931-5 gnd rswk-swf Makroökonomisches Modell (DE-588)4074486-3 gnd rswk-swf Makroökonomie (DE-588)4037174-8 gnd rswk-swf Risiko (DE-588)4050129-2 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Aktienmarkt (DE-588)4130931-5 s Preistheorie (DE-588)4115623-7 s Makroökonomie (DE-588)4037174-8 s Risiko (DE-588)4050129-2 s Ökonometrisches Modell (DE-588)4043212-9 s DE-604 Makroökonomisches Modell (DE-588)4074486-3 s DE-188 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014569799&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Brevik, Frode Asset pricing and macroeconomic risk Preistheorie (DE-588)4115623-7 gnd Aktienmarkt (DE-588)4130931-5 gnd Makroökonomisches Modell (DE-588)4074486-3 gnd Makroökonomie (DE-588)4037174-8 gnd Risiko (DE-588)4050129-2 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd |
| subject_GND | (DE-588)4115623-7 (DE-588)4130931-5 (DE-588)4074486-3 (DE-588)4037174-8 (DE-588)4050129-2 (DE-588)4043212-9 (DE-588)4113937-9 |
| title | Asset pricing and macroeconomic risk |
| title_auth | Asset pricing and macroeconomic risk |
| title_exact_search | Asset pricing and macroeconomic risk |
| title_exact_search_txtP | Asset pricing and macroeconomic risk |
| title_full | Asset pricing and macroeconomic risk Frode Brevik |
| title_fullStr | Asset pricing and macroeconomic risk Frode Brevik |
| title_full_unstemmed | Asset pricing and macroeconomic risk Frode Brevik |
| title_short | Asset pricing and macroeconomic risk |
| title_sort | asset pricing and macroeconomic risk |
| topic | Preistheorie (DE-588)4115623-7 gnd Aktienmarkt (DE-588)4130931-5 gnd Makroökonomisches Modell (DE-588)4074486-3 gnd Makroökonomie (DE-588)4037174-8 gnd Risiko (DE-588)4050129-2 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd |
| topic_facet | Preistheorie Aktienmarkt Makroökonomisches Modell Makroökonomie Risiko Ökonometrisches Modell Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014569799&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT brevikfrode assetpricingandmacroeconomicrisk |