Grammig, Joachim and Kuechlin, Eva-Maria (2018). A two-step indirect inference approach to estimate the long-run risk asset pricing model. J. Econom., 205 (1). S. 6 - 34. LAUSANNE: ELSEVIER SCIENCE SA. ISSN 1872-6895
Full text not available from this repository.Abstract
The long-run consumption risk model provides a theoretically appealing explanation for prominent asset pricing puzzles, but its intricate structure presents a challenge for econometric analysis. This paper proposes a two-step indirect inference approach that disentangles the estimation of the model's macro-economic dynamics and the investor's preference parameters. A Monte Carlo study explores the feasibility and efficiency of the estimation strategy. We apply the method to recent U.S. data and provide a critical reassessment of the long-run risk model's ability to reconcile the real economy and financial markets. This two-step indirect inference approach is potentially useful for the econometric analysis of other prominent consumption-based asset pricing models that are equally difficult to estimate. (C) 2018 Elsevier B.V. All rights reserved.
Item Type: | Journal Article | ||||||||||||
Creators: |
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URN: | urn:nbn:de:hbz:38-181937 | ||||||||||||
DOI: | 10.1016/j.jeconom.2018.03.003 | ||||||||||||
Journal or Publication Title: | J. Econom. | ||||||||||||
Volume: | 205 | ||||||||||||
Number: | 1 | ||||||||||||
Page Range: | S. 6 - 34 | ||||||||||||
Date: | 2018 | ||||||||||||
Publisher: | ELSEVIER SCIENCE SA | ||||||||||||
Place of Publication: | LAUSANNE | ||||||||||||
ISSN: | 1872-6895 | ||||||||||||
Language: | English | ||||||||||||
Faculty: | Unspecified | ||||||||||||
Divisions: | Unspecified | ||||||||||||
Subjects: | no entry | ||||||||||||
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Refereed: | Yes | ||||||||||||
URI: | http://kups.ub.uni-koeln.de/id/eprint/18193 |
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