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Essays in financial economics.

机译：金融经济学论文。

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摘要

The central puzzles in financial economics commonly include violations of the expectations hypotheses, predictability of excess returns, and the levels and volatilities of nominal bond yields, in addition to well-known equity premium and the risk-free rate puzzles. Equally surprising is the recent evidence on large moves in asset prices, and the over-pricing of the out-of-the-money index put options relative to standard models. In this work, I argue that the long-run risks type model can successfully explain these features of financial markets. I present robust empirical evidence which supports the main economic channels in the model. Finally, I develop econometric methods to estimate and test the model, and find that it delivers plausible preference and model parameters and provides a good fit to the asset-price and macroeconomic data.;In the first chapter, which is co-authored with Ravi Bansal, we present a long-run risks based equilibrium model that can quantitatively explain the violations of expectations hypotheses and predictability of returns in bond and currency markets. The key ingredients of the model include a low-frequency predictable component in consumption, time-varying consumption volatility and investor's preferences for early resolution of uncertainty. In this model, varying consumption volatility in the presence of the predictable consumption component leads to appropriate variation in bond yields and the risk premia to provide an explanation for the puzzling violations of the expectations hypothesis. Using domestic and foreign consumption and asset markets data we provide direct empirical support for the economic channels highlighted in the paper.;In the second chapter, co-authored with Ravi Bansal, we develop a general equilibrium model in which income and dividends are smooth, but asset prices are subject to large moves (jumps). A prominent feature of the model is that the optimal decision of investors to learn the unobserved state triggers large asset-price jumps. We show that the learning choice is critically determined by preference parameters and the conditional volatility of income process. An important prediction of the model is that income volatility predicts future jumps, while the variation in the level of income does not. We find that indeed in the data large moves in returns are predicted by consumption volatility, but not by the changes in the consumption level. In numerical calibrations, we show that the model can quantitatively capture these novel features of the data.;In the third chapter, I present a long-run risks type model where consumption shocks are Gaussian, and the agent learns about unobserved expected growth from the cross-section of signals. The uncertainty about expected growth (confidence measure), as in the data, is time-varying and subject to jump-like risks. I show that the confidence jump risk channel can quantitatively account for the option price puzzles and large moves in asset prices, without hard-wiring jumps into consumption. Based on two estimation approaches, the model provides a good fit to the option price, confidence measure, returns and consumption data, at the plausible preference and model parameter values.
机译：除了众所周知的股票溢价和无风险利率难题外，金融经济学中的核心难题通常包括违反预期假设，超额收益的可预测性，名义债券收益率的水平和波动性。同样令人惊讶的是，最近有关资产价格大幅波动的证据，以及相对于标准模型而言，价外指数认沽期权的定价过高。在本文中，我认为长期风险类型模型可以成功地解释金融市场的这些特征。我提供了有力的经验证据，支持了模型中的主要经济渠道。最后，我开发了计量经济学的方法来估计和测试模型，发现它提供了合理的偏好和模型参数，并且非常适合资产价格和宏观经济数据。在第一章中，与Ravi合着Bansal，我们提出了一个基于风险的长期均衡模型，该模型可以定量地解释违反预期假设以及债券和货币市场收益的可预测性。该模型的关键要素包括消费中的低频可预测成分，随时间变化的消费波动性以及投资者对于尽早解决不确定性的偏好。在此模型中，在存在可预测的消费成分的情况下，消费波动的变化会导致债券收益率和风险溢价的适当变化，从而为令人难以置信的违反预期假设的现象提供了解释。利用国内外的消费和资产市场数据，我们为本文中强调的经济渠道提供了直接的经验支持。在第二章中，我们与拉维·班萨尔（Ravi Bansal）合着，建立了收入和股利平稳的一般均衡模型，但是资产价格会出现较大波动（跳跃）。该模型的一个显着特征是，投资者学习未观察到的状态的最佳决策会触发资产价格的大幅上涨。我们表明，学习选择是由偏好参数和收入过程的条件波动性决定的。该模型的重要预测是收入波动会预测未来的跳跃，而收入水平的变化则不会。我们发现，确实在数据中，收益的大幅度变动是由消费波动预测的，而不是由消费水平的变化预测的。在数值校准中，我们表明该模型可以定量地捕获数据的这些新颖特征。在第三章中，我提出了一种长期风险类型模型，其中消费冲击是高斯的，代理商从中获悉了未观察到的预期增长。信号的横截面。数据中关于预期增长的不确定性（置信度）随时间变化，并具有类似跳跃的风险。我表明，信心跳跃风险通道可以定量地解释期权价格难题和资产价格的大幅波动，而不会硬性地跳入消费。基于两种估计方法，该模型以合理的偏好和模型参数值很好地拟合了期权价格，置信度，收益和消费数据。

著录项

  • 作者

    Shaliastovich, Ivan.;

  • 作者单位

    Duke University.;

  • 授予单位 Duke University.;
  • 学科 Economics Finance.
  • 学位 Ph.D.
  • 年度 2009
  • 页码 189 p.
  • 总页数 189
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类 财政、金融;
  • 关键词

  • 入库时间 2022-08-17 11:38:25

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