| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4013 |
| DP4013 Independent Yet Cooperative: The ECB | |
| Sylvester Eijffinger; Edin Mujagic | |
| 发表日期 | 2003-08-23 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | This Paper develops a simple new methodology to test for asset integration and applies it within and between American stock markets. Our technique is tightly based on a general intertemporal asset-pricing model, and relies on estimating and comparing expected risk-free rates across assets. Expected risk-free rates are allowed to vary freely over time, constrained only by the fact that they are equal across (risk-adjusted) assets. Assets are allowed to have general risk characteristics, and are constrained only by a factor model of covariances over short time periods. The technique is undemanding in terms of both data and estimation. We find that expected risk-free rates vary dramatically over time, unlike short interest rates. Further, the S&P 500 market seems to be well integrated, and the NASDAQ is generally (but not always) integrated. The NASDAQ, however, is poorly integrated with the S&P 500. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Risk-free Rate Intertemporal Asset Market Expected Price Stock Conditional |
| URL | https://cepr.org/publications/dp4013 |
| 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/532992 |
| 推荐引用方式 GB/T 7714 | Sylvester Eijffinger,Edin Mujagic. DP4013 Independent Yet Cooperative: The ECB. 2003. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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