Arbeitspapier
A two-step indirect inference approach to estimate the long-run risk asset pricing model
The long-run consumption risk model provides a theoretically appealing explanation for prominent asset pricing puzzles, but its intricate structure presents a challenge for econometric analysis. This paper proposes a two-step indirect inference approach that disentangles the estimation of the model's macroeconomic dynamics and the investor's preference parameters. A Monte Carlo study explores the feasibility and efficiency of the estimation strategy. We apply the method to recent U.S. data and provide a critical re-assessment of the long-run risk model's ability to reconcile the real economy and financial markets. This two-step indirect inference approach is potentially useful for the econometric analysis of other prominent consumption-based asset pricing models that are equally difficult to estimate.
- Sprache
-
Englisch
- Erschienen in
-
Series: CFR Working Paper ; No. 17-01
- Klassifikation
-
Wirtschaft
Financial Econometrics
General Financial Markets: General (includes Measurement and Data)
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
indirect inference estimation
asset pricing
longrun risk
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Grammig, Joachim
Küchlin, Eva-Maria
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Cologne, Centre for Financial Research (CFR)
- (wo)
-
Cologne
- (wann)
-
2017
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Grammig, Joachim
- Küchlin, Eva-Maria
- University of Cologne, Centre for Financial Research (CFR)
Entstanden
- 2017
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