| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18305 |
| 来源ID | Working Paper 18305 |
| Risks For the Long Run: Estimation with Time Aggregation | |
| Ravi Bansal; Dana Kiku; Amir Yaron | |
| 发表日期 | 2012-08-17 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | The long-run risks (LRR) asset pricing model emphasizes the role of low-frequency movements in expected growth and economic uncertainty, along with investor preferences for early resolution of uncertainty, as an important economic-channel that determines asset prices. In this paper, we estimate the LRR model. To accomplish this we develop a method that allows us to estimate models with recursive preferences, latent state variables, and time-aggregated data. Time-aggregation makes the decision interval of the agent an important parameter to estimate. We find that time-aggregation can significantly affect parameter estimates and statistical inference. Imposing the pricing restrictions and explicitly accounting for time-aggregation, we show that the estimated LRR model can account for the joint dynamics of aggregate consumption, asset cash flows and prices, including the equity premia, risk-free rate and volatility puzzles. |
| 主题 | Macroeconomics ; Consumption and Investment ; Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w18305 |
| 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/575980 |
| 推荐引用方式 GB/T 7714 | Ravi Bansal,Dana Kiku,Amir Yaron. Risks For the Long Run: Estimation with Time Aggregation. 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 | ||
| w18305.pdf（219KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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