Pintor, Gabor (2016) The macroeconomic shock with the highest price of risk. CFM discussion paper series (CFM-DP2016-23). Centre For Macroeconomics, London, UK.
|
Text
Download (706kB) | Preview |
Abstract
There is a tight empirical link between the determinants of the cross-section of risk premia and selected structural shocks identified by macroeconomists. To show this, I propose an orthogonalisation method that approximates the stochastic discount factor with VAR innovations. When applying the method to the HML-SMBindustry portfolios, the obtained λ-shock closely resembles (up to 85% correlation) monetary policy and technology news shocks studied by macroeconomists. Results are similar for bond returns and across the US and UK.
| Item Type: | Monograph (Discussion Paper) |
|---|---|
| Official URL: | http://www.centreformacroeconomics.ac.uk/Home.aspx |
| Additional Information: | © 2016 The Authors |
| Divisions: | Centre for Macroeconomics |
| Subjects: | H Social Sciences > HB Economic Theory |
| JEL classification: | C - Mathematical and Quantitative Methods > C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors > C32 - Time-Series Models G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates |
| Date Deposited: | 12 Dec 2017 15:20 |
| Last Modified: | 13 Sep 2024 20:37 |
| URI: | http://eprints.lse.ac.uk/id/eprint/86225 |
Actions (login required)
 |
View Item |
Download Statistics
Download Statistics