کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
10478475 931118 2005 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Estimating the expected marginal rate of substitution: A systematic exploitation of idiosyncratic risk
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Estimating the expected marginal rate of substitution: A systematic exploitation of idiosyncratic risk
چکیده انگلیسی
We develop a methodology to estimate the shadow risk free rate or expected intertemporal marginal rate of substitution, “EMRS”. Our technique relies upon exploiting idiosyncratic risk, since theory dictates that idiosyncratic shocks earn the EMRS. We apply our methodology to recent monthly and daily data sets for the New York and Toronto Stock Exchanges. We estimate EMRS with precision and considerable time-series volatility, subject to an identification assumption. Both markets seem to be internally integrated; different assets traded on a given market share the same EMRS. We reject integration between the stock markets, and between stock and money markets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Monetary Economics - Volume 52, Issue 5, July 2005, Pages 951-969
نویسندگان
, ,