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Spectral Properties of Asset Pricing Models: A General Equilibrium Perspective

Beaubrun-Diant, Kevin (2006), Spectral Properties of Asset Pricing Models: A General Equilibrium Perspective, Macroeconomic Dynamics, 10, 2, p. 183-205. http://dx.doi.org/10.1017/S1365100506050164

Type
Article accepté pour publication ou publié
Date
2006
Journal name
Macroeconomic Dynamics
Volume
10
Number
2
Publisher
Cambridge University Press
Pages
183-205
Publication identifier
http://dx.doi.org/10.1017/S1365100506050164
Metadata
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Author(s)
Beaubrun-Diant, Kevin
Abstract (EN)
This paper studies asset returns adopting an alternative strategy to assess a model s goodness of fit. Based on spectral analysis, this approach considers a model as an approximation to the process generating the observed data, and characterizes the dimensions for which the model provides a good approximation and those for which it does not. Our aim is to offer new evidence regarding the size and the location of approximation errors of a set of stochastic growth models considered to be decisive steps in the progress of the asset pricing research program. Our specific objective is to reevaluate the results of Jermann s (1998) model extending the calculations to the spectral domain. Spectral results are relatively satisfactory: the benchmark model needs very few contributions of approximation errors to account for the empirical equity premium. Second, the location of the approximation errors, when they are substantial, seems to be essentially concentrated at high frequencies.
Subjects / Keywords
Spectral Analysis; Capital Adjustment Cost; Habit Formation; Equity Premium Puzzle
JEL
D58 - Computable and Other Applied General Equilibrium Models
G12 - Asset Pricing; Trading Volume; Bond Interest Rates

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