Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/169383
Autoren: 
Grammig, Joachim
Küchlin, Eva-Maria
Datum: 
2017
Schriftenreihe/Nr.: 
CFS Working Paper Series No. 572
Zusammenfassung: 
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 macroeconomic 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 re-assessment 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.
Schlagwörter: 
Indirect Inference Estimation
Asset Pricing
Long-Run Risk
JEL: 
C58
G10
G12
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
1.61 MB





Publikationen in EconStor sind urheberrechtlich geschützt.