2013年8月8日木曜日
2013年8月6日火曜日
Elasticity of intertemporal substitution
Elasticity of intertemporal substitution (or intertemporal elasticity of substitution) is a measure of responsiveness of the growth rate of consumption to the real interest rate.
http://en.wikipedia.org/wiki/Elasticity_of_intertemporal_substitution
http://en.wikipedia.org/wiki/Elasticity_of_intertemporal_substitution
2013年8月3日土曜日
2013年7月20日土曜日
2013年7月5日金曜日
International Equity Premium Puzzle
Colacito and Croce (2010) "Risks For The Long Run And The Real Exchange Rate"
<quote>
i) risk aversion has to be large to reconcile the low volatility of consumption growth rates with highly volatile stochastic discount factors (see equity premium puzzle)
ii) consumption is poorly correlated across countries at annual or higher frequencies
<unquote>
International Equity Premium Puzzle
Since Δe = m* - m ⇨ V(Δe) = V(m*) + V(m) - 2Cov(m*,m), if Cov(m*,m) is small as is observed in the data (consumption correlation), the volatility of exchange rate in the data is too small (V(m*) and V(m) are large).
<quote>
i) risk aversion has to be large to reconcile the low volatility of consumption growth rates with highly volatile stochastic discount factors (see equity premium puzzle)
ii) consumption is poorly correlated across countries at annual or higher frequencies
<unquote>
International Equity Premium Puzzle
Since Δe = m* - m ⇨ V(Δe) = V(m*) + V(m) - 2Cov(m*,m), if Cov(m*,m) is small as is observed in the data (consumption correlation), the volatility of exchange rate in the data is too small (V(m*) and V(m) are large).
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