2013年11月18日月曜日
2013年11月17日日曜日
Role of EIS and Risk Aversion
http://www.lse.ac.uk/finance/prospectiveStudents/phdFinance/files09/Job_Market_Paper_Aytek_Malkhozov.pdf
Malkhozov and Samloo (2009) "Asset Prices in a News Driven Real Business Cycle Model"
<quote>
Lets first consider a Lucas-tree economy. A positive shock to expected consumption growth (or a negative shock to uncertainty) increases wealth to consumption ratio, which adjusts through movements in wealth since consumption is exogenous. This adjustment depends on the size of the elasticity of intertemporal substitution. If the substitution effect dominates the wealth effect, i.e. elasticity of intertemporal substitution is greater than one, the agent would like to hold more of the asset, thus driving prices up. Otherwise (when elasticity of intertemporal substitution is less than 1) the agent prefers bringing the increase in consumption forward, depressing prices.
How does this matter for risk premia? Shocks to expected consumption growth affect expected future returns to wealth. The agent with relative risk aversion greater than 1 wants to hedge against these changes in the investment opportunity set (and bet on them if relative risk aversion is less than one). Notice that relative risk aversion and inverse of the elasticity of intertemporal substitution are comparable measures of propensity to smooth consumption across states and time respectively. Therefore if the two are equal (CRRA case) the changes in wealth-consumption ratio exactly offset the hedging demand. With Epstein-Zin preferences there can be a wedge between relative risk aversion and the inverse of the elasticity of intertemporal substitution which will translate into premia. As an example, consider an agent with both elasticity of intertemporal substitution and relative risk aversion greater than 1, exposed to a positive shock to expected consumption growth. The intertemporal substitution effect drives up asset prices. The hedging demand effect would imply that the agent wants his portfolio to depreciate. Therefore a premium is required for the agent to hold the asset in equilibrium. If consumption and dividends are correlated the results for the pricing of aggregate risk carry forward to the risk premium for the claim on aggregate dividends. Recursive preferences are crucial for this mechanism.
<unquote>
Malkhozov and Samloo (2009) "Asset Prices in a News Driven Real Business Cycle Model"
<quote>
Lets first consider a Lucas-tree economy. A positive shock to expected consumption growth (or a negative shock to uncertainty) increases wealth to consumption ratio, which adjusts through movements in wealth since consumption is exogenous. This adjustment depends on the size of the elasticity of intertemporal substitution. If the substitution effect dominates the wealth effect, i.e. elasticity of intertemporal substitution is greater than one, the agent would like to hold more of the asset, thus driving prices up. Otherwise (when elasticity of intertemporal substitution is less than 1) the agent prefers bringing the increase in consumption forward, depressing prices.
How does this matter for risk premia? Shocks to expected consumption growth affect expected future returns to wealth. The agent with relative risk aversion greater than 1 wants to hedge against these changes in the investment opportunity set (and bet on them if relative risk aversion is less than one). Notice that relative risk aversion and inverse of the elasticity of intertemporal substitution are comparable measures of propensity to smooth consumption across states and time respectively. Therefore if the two are equal (CRRA case) the changes in wealth-consumption ratio exactly offset the hedging demand. With Epstein-Zin preferences there can be a wedge between relative risk aversion and the inverse of the elasticity of intertemporal substitution which will translate into premia. As an example, consider an agent with both elasticity of intertemporal substitution and relative risk aversion greater than 1, exposed to a positive shock to expected consumption growth. The intertemporal substitution effect drives up asset prices. The hedging demand effect would imply that the agent wants his portfolio to depreciate. Therefore a premium is required for the agent to hold the asset in equilibrium. If consumption and dividends are correlated the results for the pricing of aggregate risk carry forward to the risk premium for the claim on aggregate dividends. Recursive preferences are crucial for this mechanism.
<unquote>
2013年11月16日土曜日
2013年11月3日日曜日
GARCH/ Stochastic Volatility Model
http://mitizane.ll.chiba-u.jp/metadb/up/AN10005358/09127216_26-3_129.pdf
http://faculty.washington.edu/ezivot/econ589/ch4.pdf
GARCH <- 単一の不確実性
SV <- 複数の不確実性
例）リターン／ボラティティのモデル化
GARCH <- リターンへのショック（イノベーション）のみが確率過程のドライバー
SV <- リターンとボラティリティそれぞれへのショック（イノベーション）を考慮
http://faculty.washington.edu/ezivot/econ589/ch4.pdf
GARCH <- 単一の不確実性
SV <- 複数の不確実性
例）リターン／ボラティティのモデル化
GARCH <- リターンへのショック（イノベーション）のみが確率過程のドライバー
SV <- リターンとボラティリティそれぞれへのショック（イノベーション）を考慮
2013年10月25日金曜日
2013年10月15日火曜日
外為特会の歴史
須田美矢子「外国為替資金特別会計と外国為替政策」
http://www.gakushuin.ac.jp/univ/eco/gakkai/pdf_files/keizai_ronsyuu/contents/3602/3602-33suda.pdf
渡瀬義男「外国為替資金特別会計の現状と課題」
"財務省側に次のような大前提があったことから生じたと思われる｡ すなわち､ 第一に､ 外為特会の外貨は将来の円買い介入の原資であり､ その外貨は輸出入に圧倒的比重を占めるドル建て以外にないこと､ 第二に､ ドルが暴落するような事態は当面考えられず､ 懸念される評価損が実現する事態も想定しがたいこと､ 第三に､ 貯蓄超過の日本の方が構造的に米国より金利が低いから､ 金利差逆転などは考えられないこと､ の三点である｡"
http://www.ndl.go.jp/jp/data/publication/refer/200612_671/067103.pdf
http://www.gakushuin.ac.jp/univ/eco/gakkai/pdf_files/keizai_ronsyuu/contents/3602/3602-33suda.pdf
渡瀬義男「外国為替資金特別会計の現状と課題」
"財務省側に次のような大前提があったことから生じたと思われる｡ すなわち､ 第一に､ 外為特会の外貨は将来の円買い介入の原資であり､ その外貨は輸出入に圧倒的比重を占めるドル建て以外にないこと､ 第二に､ ドルが暴落するような事態は当面考えられず､ 懸念される評価損が実現する事態も想定しがたいこと､ 第三に､ 貯蓄超過の日本の方が構造的に米国より金利が低いから､ 金利差逆転などは考えられないこと､ の三点である｡"
http://www.ndl.go.jp/jp/data/publication/refer/200612_671/067103.pdf
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