Can a habit formation model really explain the Forward Premium Anomaly?
Autor(a) principal: | |
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Data de Publicação: | 2009 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | https://hdl.handle.net/10438/2714 |
Resumo: | Verdelhan (2009) shows that if one is to explain the foreign ex- change forward premium behavior using Campbell and Cochrane (1999)'s habit formation model one must specify it in such a way to generate pro-cyclical short term risk free rates. At the calibration procedure, we show that this is only possible in Campbell and Cochrane s framework under implausible parameters speci cations given that the priceconsumption ratio diverges in almost all parameters sets. We, then, adopt Verdelhan s shortcut of xing the sensivity function (st) at its steady state level to attain a nite value for the price-consumption ratio and release it in the simulation stage to ensure pro-cyclical risk free rates. Beyond the potential inconsistencies that such procedure may generate, as suggested by Wachter (2006), with pro-cyclical risk free rates the model generates a downward sloped real yield curve, which is at odds with the data. |
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Vasconcelos, Jivago B. Ximenes deEscolas::EPGEFGVCosta, Carlos Eugênio Ellery Lustosa da2009-08-07T17:37:15Z2009-08-07T17:37:15Z2009-08-07VASCONCELOS, Jivago B. Ximenes de. Can a habit formation model really explain the Forward Premium Anomaly?. Dissertação (Mestrado em Economia) - FGV - Fundação Getúlio Vargas, Rio de Janeiro, 2009.https://hdl.handle.net/10438/2714Verdelhan (2009) shows that if one is to explain the foreign ex- change forward premium behavior using Campbell and Cochrane (1999)'s habit formation model one must specify it in such a way to generate pro-cyclical short term risk free rates. At the calibration procedure, we show that this is only possible in Campbell and Cochrane s framework under implausible parameters speci cations given that the priceconsumption ratio diverges in almost all parameters sets. We, then, adopt Verdelhan s shortcut of xing the sensivity function (st) at its steady state level to attain a nite value for the price-consumption ratio and release it in the simulation stage to ensure pro-cyclical risk free rates. Beyond the potential inconsistencies that such procedure may generate, as suggested by Wachter (2006), with pro-cyclical risk free rates the model generates a downward sloped real yield curve, which is at odds with the data.Verdelhan (2009) mostra que desejando-se explicar o comporta- mento do prêmio de risco nos mercados de títulos estrangeiros usando- se o modelo de formação externa de hábitos proposto por Campbell e Cochrane (1999) será necessário especificar o retorno livre de risco de equilíbrio de maneira pró-cíclica. Mostramos que esta especificação só é possível sobre parâmetros de calibração implausíveis. Ainda no processo de calibração, para a maioria dos parâmetros razoáveis, a razão preço-consumo diverge. Entretanto, adotando a sugestão proposta por Verdelhan (2009) - de xara função sensibilidade (st) no seu valor de steady-state durante a calibração e liberá-la apenas durante a simulação dos dados para se garantir taxas livre de risco prócíclicas - conseguimos encontrar um valor nito e bem comportado para a razão preço-consumo de equilíbrio e replicar o foward premium anomaly. Desconsiderando possíveis inconsistências deste procedimento, sobre retornos livres de risco pró-cíclicos, conforme sugerido por Wachter (2006), o modelo utilizado gera curvas de yields reais decrescentes na maturidade, independentemente do estado da economia - resultado que se opõe à literatura subjacente e aos dados reais sobre yields.engForward Premium PuzzleEquity Premium PuzzleHabit formationAsset PricingFormação de HábitoEconomiaModelo de precificação de ativosRisco (Economia)Finanças - Modelos matemáticosCan a habit formation model really explain the Forward Premium Anomaly?info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas 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|
dc.title.eng.fl_str_mv |
Can a habit formation model really explain the Forward Premium Anomaly? |
title |
Can a habit formation model really explain the Forward Premium Anomaly? |
spellingShingle |
Can a habit formation model really explain the Forward Premium Anomaly? Vasconcelos, Jivago B. Ximenes de Forward Premium Puzzle Equity Premium Puzzle Habit formation Asset Pricing Formação de Hábito Economia Modelo de precificação de ativos Risco (Economia) Finanças - Modelos matemáticos |
title_short |
Can a habit formation model really explain the Forward Premium Anomaly? |
title_full |
Can a habit formation model really explain the Forward Premium Anomaly? |
title_fullStr |
Can a habit formation model really explain the Forward Premium Anomaly? |
title_full_unstemmed |
Can a habit formation model really explain the Forward Premium Anomaly? |
title_sort |
Can a habit formation model really explain the Forward Premium Anomaly? |
author |
Vasconcelos, Jivago B. Ximenes de |
author_facet |
Vasconcelos, Jivago B. Ximenes de |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EPGE |
dc.contributor.affiliation.none.fl_str_mv |
FGV |
dc.contributor.author.fl_str_mv |
Vasconcelos, Jivago B. Ximenes de |
dc.contributor.advisor1.fl_str_mv |
Costa, Carlos Eugênio Ellery Lustosa da |
contributor_str_mv |
Costa, Carlos Eugênio Ellery Lustosa da |
dc.subject.por.fl_str_mv |
Forward Premium Puzzle Equity Premium Puzzle Habit formation Asset Pricing Formação de Hábito |
topic |
Forward Premium Puzzle Equity Premium Puzzle Habit formation Asset Pricing Formação de Hábito Economia Modelo de precificação de ativos Risco (Economia) Finanças - Modelos matemáticos |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Modelo de precificação de ativos Risco (Economia) Finanças - Modelos matemáticos |
description |
Verdelhan (2009) shows that if one is to explain the foreign ex- change forward premium behavior using Campbell and Cochrane (1999)'s habit formation model one must specify it in such a way to generate pro-cyclical short term risk free rates. At the calibration procedure, we show that this is only possible in Campbell and Cochrane s framework under implausible parameters speci cations given that the priceconsumption ratio diverges in almost all parameters sets. We, then, adopt Verdelhan s shortcut of xing the sensivity function (st) at its steady state level to attain a nite value for the price-consumption ratio and release it in the simulation stage to ensure pro-cyclical risk free rates. Beyond the potential inconsistencies that such procedure may generate, as suggested by Wachter (2006), with pro-cyclical risk free rates the model generates a downward sloped real yield curve, which is at odds with the data. |
publishDate |
2009 |
dc.date.accessioned.fl_str_mv |
2009-08-07T17:37:15Z |
dc.date.available.fl_str_mv |
2009-08-07T17:37:15Z |
dc.date.issued.fl_str_mv |
2009-08-07 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.citation.fl_str_mv |
VASCONCELOS, Jivago B. Ximenes de. Can a habit formation model really explain the Forward Premium Anomaly?. Dissertação (Mestrado em Economia) - FGV - Fundação Getúlio Vargas, Rio de Janeiro, 2009. |
dc.identifier.uri.fl_str_mv |
https://hdl.handle.net/10438/2714 |
identifier_str_mv |
VASCONCELOS, Jivago B. Ximenes de. Can a habit formation model really explain the Forward Premium Anomaly?. Dissertação (Mestrado em Economia) - FGV - Fundação Getúlio Vargas, Rio de Janeiro, 2009. |
url |
https://hdl.handle.net/10438/2714 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
instname_str |
Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Repositório Institucional do FGV (FGV Repositório Digital) |
collection |
Repositório Institucional do FGV (FGV Repositório Digital) |
bitstream.url.fl_str_mv |
https://repositorio.fgv.br/bitstreams/e5052f91-164d-4dd4-83be-66842031493f/download https://repositorio.fgv.br/bitstreams/67896a3b-53d1-4b2a-b84b-12d02f16567b/download https://repositorio.fgv.br/bitstreams/893188f8-336f-47ec-a940-22d61ae73fb5/download https://repositorio.fgv.br/bitstreams/a293715e-462f-4769-95e1-2bd2ea37f825/download https://repositorio.fgv.br/bitstreams/6cc2df96-80a9-4557-a0ec-8f3878334853/download https://repositorio.fgv.br/bitstreams/31d2e6dd-8320-4d68-adc0-9263de425757/download |
bitstream.checksum.fl_str_mv |
a4ae0c0f31d2c2371cb0e5b822e7da78 b60e83c96e1cc8941d2df9eefc4b0d4a 0b606bacb1bbe8029bafcad4f584b7ff cf46c60a380edd10b419bea14cc943b3 6ac5af102323391199ac527ecf931aa5 670117f4f445ba15ddc029b7413d8d62 |
bitstream.checksumAlgorithm.fl_str_mv |
MD5 MD5 MD5 MD5 MD5 MD5 |
repository.name.fl_str_mv |
Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV) |
repository.mail.fl_str_mv |
|
_version_ |
1810023612100378624 |