| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16299 |
| DP16299 Peso Problems in the Estimation of the C-CAPM | |
| Juan Carlos Parra-Alvarez; Olaf Posch; Paul Schrimpf | |
| 发表日期 | 2021-06-27 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | This paper shows that the consumption-based capital asset pricing model (C-CAPM) with low-probability disaster risk rationalizes pricing errors. We find that implausible estimates of risk aversion and time preference are not puzzling if market participants expect a future catastrophic change in fundamentals, which just happens not to occur in the sample (a ‘peso problem’). A bias in structural parameter estimates emerges as a result of pricing errors in quiet times. While the bias essentially removes the pricing error in the simple models when risk-free rates are constant, time-variation may also generate large and persistent estimated pricing errors in simulated data. We also show analytically how the problem of biased estimates can be avoided in empirical research by resolving the misspecification in moment conditions. |
| 主题 | Financial Economics ; Macroeconomics and Growth |
| 关键词 | Rare events Asset pricing errors C-capm |
| URL | https://cepr.org/publications/dp16299 |
| 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/545264 |
| 推荐引用方式 GB/T 7714 | Juan Carlos Parra-Alvarez,Olaf Posch,Paul Schrimpf. DP16299 Peso Problems in the Estimation of the C-CAPM. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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