| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15506 |
| 来源ID | Working Paper 15506 |
| Risk Price Dynamics | |
| Jaroslav Borovička; Lars Peter Hansen; Mark Hendricks; José A. Scheinkman | |
| 发表日期 | 2009-11-12 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | We present a novel approach to depicting asset pricing dynamics by characterizing shock exposures and prices for alternative investment horizons. We quantify the shock exposures in terms of elasticities that measure the impact of a current shock on future cash-flow growth. The elasticities are designed to accommodate nonlinearities in the stochastic evolution modeled as a Markov process. Stochastic growth in the underlying macroeconomy and stochastic discounting in the representation of asset values are central ingredients in our investigation. We provide elasticity calculations in a series of examples featuring consumption externalities, recursive utility, and jump risk. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w15506 |
| 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/573182 |
| 推荐引用方式 GB/T 7714 | Jaroslav Borovička,Lars Peter Hansen,Mark Hendricks,et al. Risk Price Dynamics. 2009. |
| 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 | ||
| w15506.pdf（334KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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