Identifying Long|Run Risks
shifts in consumption growth can be important for macroeconomic outcomes and asset prices. Page 4. IDENTIFYING LONG-RUN RISKS. 619 pricing implications of the ...
Identifying Long‐Run Risks: A Bayesian Mixed‐Frequency Approach
We develop a novel state-space model for cash flows and asset prices that imposes the pricing restrictions of a representative-agent endowment economy with ...
Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
We develop a nonlinear state-space model that captures the joint dynamics of consumption, dividend growth, and asset returns. Building on Bansal and Yaron ...
Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach ... We develop a nonlinear state-space model that captures the joint dynamics of ...
Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach. Frank Schorfheide, Dongho Song, and Amir Yaron. NBER Working Paper No. 20303. July 2014. JEL No ...
Identifying Long-run Risks: A Bayesian Mixed-Frequency Approach
Once asset return data are included in the estimation, we find even stronger evidence for the persistent component and are able to identify three volatility ...
Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach · Frank Schorfheide. University of Pennsylvania - Department of Economics; ...
Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
We develop a novel state-space model that identifies both a persistent conditional mean and a time-varying volatility component in consumption growth.
Identifying Long‐Run Risks: A Bayesian Mixed‐Frequency Approach
Frank Schorfheide & Dongho Song & Amir Yaron, 2018. "Identifying Long‐Run Risks: A Bayesian Mixed‐Frequency Approach," Econometrica, Econometric Society, vol.
Identifying Long-Term Risks | Enterprise Risk Management Initiative
Failing to also focus on longer-term potential issues may ultimately mean management is caught off guard by a developing risk that they may have ...
Risks For the Long Run: Estimation and Inference∗ - NYU Stern
... identified risk sources and plausible investor behavior. Bansal and Yaron (2004) develop a long-run risks (LRR) asset pricing model and show that it can ...
Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
We document that consumption growth rates are far from iid and have a highly persistent component. First, we estimate univariate and ...
The Long-Run Risks Model and Aggregate Asset Prices
This finding implies that the long-run risks model cannot use persistent variations in consumption growth as the main force driving stock market variation.
Risks For the Long Run: Estimation and Inference
In the LRR(h1) specification, the entire shock to annual consumption growth is identified as a short-run risk, while under the null of the LRR(h12) model, a.
Supplement to "Identifying Long-Run Risks: A Bayesian Mixed ...
SUPPLEMENT TO “IDENTIFYING LONG-RUN RISKS: A BAYESIAN. MIXED-FREQUENCY APPROACH”. (Econometrica, Vol. 86, No. 2, March 2018, 617–654). FRANK ...
Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach-article.
Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
Download Citation | Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach | We document that consumption growth rates are far from i.i.d. and have ...
Risks for the long run: Estimation with time aggregation
The long-run risks (LRR) model developed by Bansal and Yaron (2004) has motivated a significant amount of research in macro and financial economics. The model ...
Estimating and Testing Long-Run Risk Models: International Evidence
However, their identification of long-run risks solely relies on the consump- tion data, and they do not estimate preference parameters or stochastic rates of ...
Identifying Long-Run Risks: A Bayesian. Mixed-Frequency Approach. Frank Schorfheide. ∗. University of Pennsylvania. CEPR and NBER. Dongho Song.