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Spectral Properties of Asset Pricing Models: A General Equilibrium Perspective

dc.contributor.authorBeaubrun-Diant, Kevin
dc.date.accessioned2009-09-22T10:24:18Z
dc.date.available2009-09-22T10:24:18Z
dc.date.issued2006
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/1847
dc.language.isoenen
dc.subjectSpectral Analysisen
dc.subjectCapital Adjustment Costen
dc.subjectHabit Formationen
dc.subjectEquity Premium Puzzleen
dc.subject.ddc332en
dc.subject.classificationjelD58en
dc.subject.classificationjelG12en
dc.titleSpectral Properties of Asset Pricing Models: A General Equilibrium Perspectiveen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis 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.en
dc.relation.isversionofjnlnameMacroeconomic Dynamics
dc.relation.isversionofjnlvol10en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate2006
dc.relation.isversionofjnlpages183-205en
dc.relation.isversionofdoihttp://dx.doi.org/10.1017/S1365100506050164en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherCambridge University Pressen
dc.subject.ddclabelEconomie financièreen


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