全球智库信息集成服务系统(G2TT): DP2010 Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP2010
	DP2010 Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election
	Michael Rockinger; Eric Jondeau; Sophie Coutant
发表日期	1998-10-31
出版年	1998
语种	英语
摘要	In this paper we have studied the ability of relatively standard equilibrium asset pricing models to explain two important empirical regularities of asset returns extensively documented in the literature: i) returns can be predicted by a set of macro variables; and ii) returns are very volatile. Those empirical regularities are relevant because they have often been used to reject market efficiency. In the analysis we have made use of the approximation technology in the solution of intertemporal asset pricing models recently developed by Campbell (1993) in the form suggested by Restoy and Weil (1997). We have obtained evidence from eight OECD economies using both quarterly and annual observations. Equilibrium models seem generally to find fewer difficulties in explaining the volatility of returns than their predictability for general output processes. In the case of the United States, for annual frequencies the observed predictability and volatility of asset returns are broadly compatible with the predictions of equilibrium models for a reasonable specification of preferences.
主题	Financial Economics ; International Macroeconomics
关键词	Asset returns Generalized isoelastic preferences Real activity and volatility
URL	https://cepr.org/publications/dp2010
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/531138
推荐引用方式 GB/T 7714	Michael Rockinger,Eric Jondeau,Sophie Coutant. DP2010 Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election. 1998.