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.

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.

• Item Type: MPRA Paper
• Language: Spanish
• Keywords: Consumption-CAPM Model; Simulated Method of Moments; Markov Switching Processes
• Subjects: E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy > E21 - Consumption ; Saving ; Wealth; E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy > E27 - Forecasting and Simulation: Models and Applications; E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E43 - Interest Rates: Determination, Term Structure, and Effects

References

Backus, David K., Allan W. Gregory y Stanley E. Zin (1989). "Risk Premiums in the Term Structure: Evidence from Artificial Economies," Journal of Monetary Economics, 24, 371-400. Bansal, R. y J.W. Coleman (1996). "A Monetary Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles." Journal of Political Economy, vol. 104, no. 6 December:1135-71. Breeden, Douglas T. (1979). "An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities." Journal of Financial Economics 7, no. 3, 265-296. Canova, Fabio y Jane Marrinan (1995). "Predicting Excess Returns in Financial Markets," European Economic Review, Elsevier, vol. 39(1), pages 35-69,1. Canova, Fabio y Jane Marrinan (1996). "Reconciling the term structure of interest rates with the consumption-based ICAP model," Journal of Economic Dynamics and Control, Elsevier, vol. 20(4), pages 709-750, 4. Canova, Fabio y Jane Marrinan (1996). "Sources and Propagation of International Cycles: Common Shocks or Transmission?," Economics Working Papers 188, Department of Economics and Business, Universitat Pompeu Fabra. Chumacero R., (2003), “A Toolkit for Analyzing Alternative Policies in The Chilean Economy,” Working Paper 241, Banco Central de Chile. Cozier, B. y G. Tkacz (1994). “The Term Structure and Real Activity in Canada,” Working Paper 94-3, Bank of Canada. Donaldson J. T. Johnsen y R. Mehra (1990). "On the Term Structure of Interest Rates," Journal of Economic Dynamics and Control, 14, 571-596. Duffie, D. y K. Singleton (1993). “Simulated Moments Estimation of Markov Models of Asset Prices,” Econometrica, 61 (4), 929-52. Estrella, A. y G.A. Hardouvelis (1991). “The Term Structure as Predictor of Real Economic Activity,” Journal of Finance 46, 555-76. Fernández, Viviana (1999). “An Analysis of the Term Structure of Interest Rates in Chile,” Working Paper 298, Centro de Estudios Públicos (CEP- Chile). Gallant, A. Ronald, David A. Hsieh and George Tauchen (1997). "Estimation of Stochastic Volatility Models with Diagnostics," Journal of Econometrics, 81(1), 159-192. Hansen, Lars (1982). “Large Sample Properties of Generalized Method of Moments Estimators,” Econometrica, 50, 1029-1054. Hansen, Lars, and Robert Hodrick (1983)."Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models." en Jacob Frenkel, ed., Exchange Rates and International Macroeconomics. (U.Chicago Press, Chicago): 113- 142. Labadie, Pamela y Sumru Altug. Dynamic Choice and Asset Markets, Academic Press, 1994. Lee, B.S. y B. Ingram (1991). “Simulation Estimation of Time-Series Models,” Journal of Econometrics, 47, 197-205. Liesenfeld, R. y J. Breitung (1998). “Simulation Based Methods of Moments in Empirical Finance,” Sonderforschungsbereich 373, Humboldt Universitaet Berlin. Lucas, Robert E., Jr. (1978). "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45. Lucas, Robert E., Jr. (1980). "Equilibrium in a Pure Currency Economy." Economic Inquiry, 18(2), pp. 203-20. Parisi F. (1998). “Tasas de Interés Nominal de Corto Plazo en Chile: Una Comparación Empírica de sus Modelos,” Cuadernos de Economía No 105, Año 35. Sargent, Thomas. Dynamic Macroeconomic Theory, Harvard University Press, 1987.