| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w2303 |
| 来源ID | Working Paper 2303 |
| Tests of International CAPM with Time-Varying Covariances | |
| Charles Engel; Anthony P. Rodrigues | |
| 发表日期 | 1987-07-01 |
| 出版年 | 1987 |
| 语种 | 英语 |
| 摘要 | We perform maximum likelihood estimation of a model of international asset pricing based on CAPM. We test the restrictions imposed by CAPM against a more general asset pricing model. The "betas" in our CAPM vary over time from two sources -- the supplies of the assets (government obligations of France, Germany, Italy, Japan, the U.K. and the U.S.) change over time, and so do the conditional covariances of returns on these assets. We let the covariances change over time as a function of macroeconomic data. We also estimate the model when the covariances follow a multivariate ARCH process. When the covariance of forecast errors are time-varying, we can identify a modified CAFM model with measurement error -- which we also estimate. We find that the model in which the CAPM restrictions are imposed (which involve cross-equation constraints between coefficients and the variances of the residuals) perform much better when variances are not constant over time. Nonetheless, the CAPM model is rejected in favor of the less restricted model of asset pricing. |
| 主题 | International Economics |
| URL | https://www.nber.org/papers/w2303 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/559558 |
| 推荐引用方式 GB/T 7714 | Charles Engel,Anthony P. Rodrigues. Tests of International CAPM with Time-Varying Covariances. 1987. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w2303.pdf（955KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
