| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w8360 |
| 来源ID | Working Paper 8360 |
| The Size of the Permanent Component of Asset Pricing Kernels | |
| Fernando Alvarez; Urban J. Jermann | |
| 发表日期 | 2001-07-01 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | We derive a lower bound for the size of the permanent component of asset pricing kernels. The bound is based on return properties of long-term zero-coupon bonds, risk-free bonds, and other risky securities. We find the permanent component of the pricing kernel to be very large; its volatility is about 100% of the volatility of the stochastic discount factor. This result implies that, if the pricing kernel is a function of consumption, innovations to consumption need to have permanent effects. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Macroeconomics ; Money and Interest Rates |
| URL | https://www.nber.org/papers/w8360 |
| 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/565962 |
| 推荐引用方式 GB/T 7714 | Fernando Alvarez,Urban J. Jermann. The Size of the Permanent Component of Asset Pricing Kernels. 2001. |
| 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 | ||
| w8360.pdf（711KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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