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Abstract

This document tries to show how the capital asset pricing model based on theconsumption theory under uncertainty could reproduce the statistical moments ofChilean interest rates. In order to reach this objective a model like the one proposed byLucas 1980 is simulated and the parameters of the model are estimated by means ofthe simulated method of moments. To carry out the simulations, processes for the rateof growth of endowment were specified covering AR 1, GARCH 1,1 and Markovswitching specifications. Results show that the performance of the model is not themost adequate, but between the three chosen specifications, the one that allows for thecoexistence of two states for the rate of growth of the endowment of the economy is thebest in reproducing moments of interest rates.



Item Type: MPRA Paper -

Original Title: La Curva de Retorno y el Modelo C-CAPM: Evidencia para Chile-

Language: Spanish-

Keywords: Consumption-CAPM Model; Simulated Method of Moments; Markov Switching Processes-

Subjects: E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy > E21 - Consumption ; Saving ; WealthE - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy > E27 - Forecasting and Simulation: Models and ApplicationsE - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E43 - Interest Rates: Determination, Term Structure, and Effects-





Autor: González, Manuel

Fuente: https://mpra.ub.uni-muenchen.de/309/







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