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La Curva de Retorno y el Modelo C-CAPM: Evidencia para Chile

González, Manuel (2004): La Curva de Retorno y el Modelo C-CAPM: Evidencia para Chile.

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Abstract

This document tries to show how the capital asset pricing model based on the consumption theory under uncertainty could reproduce the statistical moments of Chilean interest rates. In order to reach this objective a model like the one proposed by Lucas (1980) is simulated and the parameters of the model are estimated by means of the simulated method of moments. To carry out the simulations, processes for the rate of growth of endowment were specified covering AR (1), GARCH (1,1) and Markov switching specifications. Results show that the performance of the model is not the most adequate, but between the three chosen specifications, the one that allows for the coexistence of two states for the rate of growth of the endowment of the economy is the best in reproducing moments of interest rates.

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