G2TT
来源类型Discussion paper
规范类型论文
来源IDDP10520
DP10520 Rare Events, Financial Crises, and the Cross-Section of Asset Returns
Francesco Bianchi
发表日期2015-03-29
出版年2015
语种英语
摘要Similarities between the Great Depression and the Great Recession are documented with respect to the behavior of financial markets. A Great Depression regime is identified by using a Markov-switching VAR. The probability of this regime has remained close to zero for many decades, but spiked for a short period during the most recent financial crisis, the Great Recession. The Great Depression regime implies a collapse of the stock market, with small-growth stocks outperforming small-value stocks. This helps to explain the cross section of asset returns when risk is priced according to a version of the "Bad Beta, Good Beta" Intertemporal CAPM that allows for regime changes.
主题International Macroeconomics
关键词Great depression Great recession Financial crises Intertemporal capm Markov-switching var
URLhttps://cepr.org/publications/dp10520
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/539352
推荐引用方式
GB/T 7714
Francesco Bianchi. DP10520 Rare Events, Financial Crises, and the Cross-Section of Asset Returns. 2015.
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