Consumption-Based Model and the Term Structure of Subjective Time Preference Rates PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Consumption-Based Model and the Term Structure of Subjective Time Preference Rates PDF full book. Access full book title Consumption-Based Model and the Term Structure of Subjective Time Preference Rates by Hubert de La Bruslerie. Download full books in PDF and EPUB format.
Author: Hubert de La Bruslerie Publisher: ISBN: Category : Languages : en Pages : 35
Book Description
In this article we develop a parsimonious consumption-based model of the term structure of interest rates and test its implications for US monthly data from 1970:4 to 2013:1. Our main objective is to shed a new light on the term structure of subjective time preference rates. The empirical analysis exhibits two distinct trends for two sub-periods: from 1972 to 1990 and from 1991 to 2013. Our results clearly cast doubt on the assumption of a flat term structure as implied by the standard exponential discounting function. The shape of a decreasing term structure is reported.
Author: Hubert de La Bruslerie Publisher: ISBN: Category : Languages : en Pages : 35
Book Description
In this article we develop a parsimonious consumption-based model of the term structure of interest rates and test its implications for US monthly data from 1970:4 to 2013:1. Our main objective is to shed a new light on the term structure of subjective time preference rates. The empirical analysis exhibits two distinct trends for two sub-periods: from 1972 to 1990 and from 1991 to 2013. Our results clearly cast doubt on the assumption of a flat term structure as implied by the standard exponential discounting function. The shape of a decreasing term structure is reported.
Author: Hubert de La Bruslerie Publisher: ISBN: Category : Languages : en Pages : 48
Book Description
We test two forms of consumption-based asset pricing model on American bond market data. The first is the standard C-CAPM, the other one is derived from Abel (1999) who refers to an external habit. The term premium embedded in the term structure of interest rate is linked with the conditional variance of consumption growth and is variable through time. Our empirical test confirms that hypothesis. When modeling consumption using an AR-GARCH process, the ex ante out-of-sample value of the conditional variance is shown superior to other conditional measures. Considering both univariate and multivariate frameworks, variable term premiums are positively linked to variable consumption growth expectations. It supports the expectations hypothesis of term structure and the standard consumption-based asset pricing model. However, a significant constant appears in the empirical test which is not present in the standard consumption models, but can be related to the subjective discount factor of the representative agent. It leads to question the commonly assumed hypothesis of a constant subjective time preference and suggests a decreasing term structure of the agent psychological price of time.
Author: National Academies of Sciences, Engineering, and Medicine Publisher: National Academies Press ISBN: 0309454204 Category : Science Languages : en Pages : 281
Book Description
The social cost of carbon (SC-CO2) is an economic metric intended to provide a comprehensive estimate of the net damages - that is, the monetized value of the net impacts, both negative and positive - from the global climate change that results from a small (1-metric ton) increase in carbon-dioxide (CO2) emissions. Under Executive Orders regarding regulatory impact analysis and as required by a court ruling, the U.S. government has since 2008 used estimates of the SC-CO2 in federal rulemakings to value the costs and benefits associated with changes in CO2 emissions. In 2010, the Interagency Working Group on the Social Cost of Greenhouse Gases (IWG) developed a methodology for estimating the SC-CO2 across a range of assumptions about future socioeconomic and physical earth systems. Valuing Climate Changes examines potential approaches, along with their relative merits and challenges, for a comprehensive update to the current methodology. This publication also recommends near- and longer-term research priorities to ensure that the SC- CO2 estimates reflect the best available science.
Author: Publisher: Springer ISBN: 1349588024 Category : Law Languages : en Pages : 7493
Book Description
The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.
Author: Claus Munk Publisher: OUP Oxford ISBN: 0191654140 Category : Business & Economics Languages : en Pages : 598
Book Description
Financial Asset Pricing Theory offers a comprehensive overview of the classic and the current research in theoretical asset pricing. Asset pricing is developed around the concept of a state-price deflator which relates the price of any asset to its future (risky) dividends and thus incorporates how to adjust for both time and risk in asset valuation. The willingness of any utility-maximizing investor to shift consumption over time defines a state-price deflator which provides a link between optimal consumption and asset prices that leads to the Consumption-based Capital Asset Pricing Model (CCAPM). A simple version of the CCAPM cannot explain various stylized asset pricing facts, but these asset pricing 'puzzles' can be resolved by a number of recent extensions involving habit formation, recursive utility, multiple consumption goods, and long-run consumption risks. Other valuation techniques and modelling approaches (such as factor models, term structure models, risk-neutral valuation, and option pricing models) are explained and related to state-price deflators. The book will serve as a textbook for an advanced course in theoretical financial economics in a PhD or a quantitative Master of Science program. It will also be a useful reference book for researchers and finance professionals. The presentation in the book balances formal mathematical modelling and economic intuition and understanding. Both discrete-time and continuous-time models are covered. The necessary concepts and techniques concerning stochastic processes are carefully explained in a separate chapter so that only limited previous exposure to dynamic finance models is required.
Author: Claus Munk Publisher: Oxford University Press, USA ISBN: 0199585490 Category : Business & Economics Languages : en Pages : 598
Book Description
The book presents models for the pricing of financial assets such as stocks, bonds, and options. The models are formulated and analyzed using concepts and techniques from mathematics and probability theory. It presents important classic models and some recent 'state-of-the-art' models that outperform the classics.
Author: Hubert de La Bruslerie
Author: Hubert de La Bruslerie
Author: Hubert de La Bruslerie
Author: John H. Cochrane
Author: National Academies of Sciences, Engineering, and Medicine
Author: Prasad Nanisetty
Author: 
Author: Christian Gollier
Author: Claus Munk
Author: 
Author: Claus Munk