Loading...
Please wait, while we are loading the content...
Similar Documents
An Asset Pricing Approach to Testing General Term Structure Models
| Content Provider | Semantic Scholar |
|---|---|
| Author | Christensen, Bent Jesper Wel, Michel Van Der |
| Copyright Year | 2019 |
| Abstract | We develop a new empirical approach to term structure analysis that allows testing for time-varying risk premiums and arbitrage opportunities in models with both unobservable factors and factors identified as the innovations to observed macroeconomic variables. Factors can play double roles as both covariance-generating common shocks driving yields and determinants of market prices of risk in cross-sectional pricing. The evidence favors time-varying risk prices significantly related to the second StockâWatson principal component of macroeconomic variables and to changes in the industrial production index. Our preferred specification includes these two observable and two unobservable factors, with the no-arbitrage condition imposed. |
| Starting Page | 165 |
| Ending Page | 191 |
| Page Count | 27 |
| File Format | PDF HTM / HTML |
| DOI | 10.2139/ssrn.1578354 |
| Alternate Webpage(s) | http://jfe.rochester.edu/Christensen_vanderWel_app.pdf |
| Alternate Webpage(s) | https://doi.org/10.2139/ssrn.1578354 |
| Volume Number | 134 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
