| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18247 |
| 来源ID | Working Paper 18247 |
| Econometric Analysis of Present Value Models When the Discount Factor Is near One | |
| Kenneth D. West | |
| 发表日期 | 2012-07-19 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | This paper develops asymptotic econometric theory to help understand data generated by a present value model with a discount factor near one. A leading application is to exchange rate models. A key assumption of the asymptotic theory is that the discount factor approaches 1 as the sample size grows. The finite sample approximation implied by the asymptotic theory is quantitatively congruent with modest departures from random walk behavior with imprecise estimation of a well-studied regression relating spot and forward exchange rates. |
| 主题 | Econometrics ; Estimation Methods ; International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w18247 |
| 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/575923 |
| 推荐引用方式 GB/T 7714 | Kenneth D. West. Econometric Analysis of Present Value Models When the Discount Factor Is near One. 2012. |
| 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 | ||
| w18247.pdf（195KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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