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Essays on Macro-Finance Asset Pricing Models and Estimation
| Content Provider | Semantic Scholar |
|---|---|
| Author | Kang, Kyu Ho |
| Copyright Year | 2010 |
| Abstract | of The Dissertation Essays on Macro-Finance Asset Pricing Models and Estimation by Kyu Ho Kang Doctor of Philosophy in Economics Washington University in St. Louis, 2010 Professor Siddhartha Chib, Chair In my dissertation, I focus on theoretical asset pricing models and the development of Bayesian econometric methods to estimate them, particularly in the area of bond pricing. The first essay theoretically and empirically examines structural changes in a dynamic term-structure model of zero-coupon bond yields. To do this, we develop a new arbitrage-free one latent and two macro-economics factor affine model to price default-free bonds when all model parameters are subject to change at unknown time points. The bonds in our set-up can be priced straightforwardly once the change-point model is formulated as a specific unidirectional Markov process. We consider five versions of our general model with 0, 1, 2, 3 and 4 change-points to a collection of 16 yields measured quarterly over the period 1972:I to 2007:IV. Our empirical approach to inference is fully Bayesian with priors set up to reflect the assumption of a positive term-premium. The use of Bayesian techniques is particularly relevant because the models are high-dimensional and non-linear, and because it is more straightforward to compare our different change-point models from the Bayesian perspective. Our estimation results indicate that the model with 3 change-points is most supported by the data and that the breaks occurred |
| File Format | PDF HTM / HTML |
| DOI | 10.7936/K7G15XX3 |
| Alternate Webpage(s) | http://openscholarship.wustl.edu/cgi/viewcontent.cgi?article=1173&context=etd |
| Alternate Webpage(s) | https://openscholarship.wustl.edu/cgi/viewcontent.cgi?article=1173&context=etd&httpsredir=1&referer= |
| Alternate Webpage(s) | https://doi.org/10.7936/K7G15XX3 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
