| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8488 |
| DP8488 Sources of entropy in representative agent models | |
| David Backus; Stanley E. Zin; Mikhail Chernov | |
| 发表日期 | 2011-07-01 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | We propose two metrics for asset pricing models and apply them to representative agent models with recursive preferences, habits, and jumps. The metrics describe the pricing kernel?s dispersion (the entropy of the title) and dynamics (time dependence, a measure of how entropy varies over different time horizons). We show how each model generates entropy and time dependence and compare their magnitudes to estimates derived from asset returns. This exercise--and transparent loglinear approximations--clarifies the mechanisms underlying these models. It also reveals, in some cases, tension between entropy, which should be large enough to account for observed excess returns, and time dependence, which should be small enough to account for mean yield spreads. |
| 主题 | Financial Economics |
| 关键词 | Pricing kernel Asset returns Bond yields Disasters Habits Jumps Recursive preferences |
| URL | https://cepr.org/publications/dp8488 |
| 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/537325 |
| 推荐引用方式 GB/T 7714 | David Backus,Stanley E. Zin,Mikhail Chernov. DP8488 Sources of entropy in representative agent models. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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