Ensaios sobre o fator estocástico de descontos

Detalhes bibliográficos
Autor(a) principal: Araújo, Fabio
Data de Publicação: 2009
Tipo de documento: Tese
Idioma: por
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: https://hdl.handle.net/10438/4250
Resumo: This work proposes alternative ways to consistently estimate an abstract measure, crucial to the study of intertemporal decisions, which is at the core of most macroeconomics and financial studies: the Stochastic Discount Factor (SDF). Using the Pricing Equation in a panel-data framework, is constructed a novel consistent estimator of the SDF which relies on the fact that its logarithm is pervasive to all asset returns of the economy. The resulting estimator is very simple to compute, does not dependent on strong economic assumptions, is suitable for testing different preference specifications or investigating intertemporal substitution puzzles, and can be used as basis to construct an estimator for the risk-free rate. Alternative identification strategies are applied and a parallel between it and identifications strategies based on other frameworks is drawn. Adding structure to the initial setup, two environments were the asymptotic distribution can be derived are presented. Finally, methodologies proposed are applied US and Brazilian data. Preference specifications usually found in the macro literature, as well as a class of state dependent preferences, are tested. The results for the US economy are particularly interesting, by performing formal tests, we cannot reject standard preference specifications used in the literature and estimates of the relative risk-aversion coefficient are between 1 and 2, and statistically indistinguishable from the unity. Moreover, for the class of state dependent preferences and using US quarterly data from 1972:1 and 2001:4, we estimate a highly dynamic path for the relative risk-aversion (rra) coefficient, confined to the interval [1.15, 2.05], and also reject the hypothesis of a constant level.
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spelling Araújo, FabioEscolas::EPGEBonomo, Marco Antônio CesarAlmeida, Caio Ibsen Rodrigues deFernandes, MarceloLima, Eduardo José AraújoIssler, João Victor2010-03-15T12:06:11Z2010-03-15T12:06:11Z2009-08-10ARAÚJO, Fabio. Ensaios sobre o fator estocástico de descontos. Tese (Doutorado em Economia) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2009.https://hdl.handle.net/10438/4250This work proposes alternative ways to consistently estimate an abstract measure, crucial to the study of intertemporal decisions, which is at the core of most macroeconomics and financial studies: the Stochastic Discount Factor (SDF). Using the Pricing Equation in a panel-data framework, is constructed a novel consistent estimator of the SDF which relies on the fact that its logarithm is pervasive to all asset returns of the economy. The resulting estimator is very simple to compute, does not dependent on strong economic assumptions, is suitable for testing different preference specifications or investigating intertemporal substitution puzzles, and can be used as basis to construct an estimator for the risk-free rate. Alternative identification strategies are applied and a parallel between it and identifications strategies based on other frameworks is drawn. Adding structure to the initial setup, two environments were the asymptotic distribution can be derived are presented. Finally, methodologies proposed are applied US and Brazilian data. Preference specifications usually found in the macro literature, as well as a class of state dependent preferences, are tested. The results for the US economy are particularly interesting, by performing formal tests, we cannot reject standard preference specifications used in the literature and estimates of the relative risk-aversion coefficient are between 1 and 2, and statistically indistinguishable from the unity. Moreover, for the class of state dependent preferences and using US quarterly data from 1972:1 and 2001:4, we estimate a highly dynamic path for the relative risk-aversion (rra) coefficient, confined to the interval [1.15, 2.05], and also reject the hypothesis of a constant level.Este trabalho propõe maneiras alternativas para a estimação consistente de uma medida abstrata, crucial para o estudo de decisões intertemporais, o qual é central a grande parte dos estudos em macroeconomia e finanças: o Fator Estocástico de Descontos (SDF, sigla em Inglês). Pelo emprego da Equação de Apreçamento constrói-se um inédito estimador consistente do SDF que depende do fato de que seu logaritmo é comum a todos os ativos de uma economia. O estimador resultante é muito simples de se calcular, não depende de fortes hipóteses econômicas, é adequado ao teste de diversas especificações de preferência e para a investigação de paradoxos de substituição intertemporal, e pode ser usado como base para a construção de um estimador para a taxa livre de risco. Alternativas para a estratégia de identificação são aplicadas e um paralelo entre elas e estratégias de outras metodologias é traçado. Adicionando estrutura ao ambiente inicial, são apresentadas duas situações onde a distribuição assintótica pode ser derivada. Finalmente, as metodologias propostas são aplicadas a conjuntos de dados dos EUA e do Brasil. Especificações de preferência usualmente empregadas na literatura, bem como uma classe de preferências dependentes do estado, são testadas. Os resultados são particularmente interessantes para a economia americana. A aplicação de teste formais não rejeita especificações de preferências comuns na literatura e estimativas para o coeficiente relativo de aversão ao risco se encontram entre 1 e 2, e são estatisticamente indistinguíveis de 1. Adicionalmente, para a classe de preferência s dependentes do estado, trajetórias altamente dinâmicas são estimadas para a tal coeficiente, as trajetórias são confinadas ao intervalo [1,15, 2,05] e se rejeita a hipótese de uma trajetória constante.porTodo cuidado foi dispensado para respeitar os direitos autorais deste trabalho. Entretanto, caso esta obra aqui depositada seja protegida por direitos autorais externos a esta instituição, contamos com a compreensão do autor e solicitamos que o mesmo faça contato através do Fale Conosco para que possamos tomar as providências cabíveis.info:eu-repo/semantics/openAccessStochastic discount factorSerial correlation common featuresPanel data econometricsCommon featuresState dependentRisk aversionFator estocástico de descontosCaracterística Comum de correlação serialEconometria de dados em painelCaracterísticas comunsDependente de estadoAversão ao riscoEconomiaModelo de precificação de ativosRisco (Economia)Ensaios sobre o fator estocástico de descontosinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/doctoralThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas 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dc.title.por.fl_str_mv Ensaios sobre o fator estocástico de descontos
title Ensaios sobre o fator estocástico de descontos
spellingShingle Ensaios sobre o fator estocástico de descontos
Araújo, Fabio
Stochastic discount factor
Serial correlation common features
Panel data econometrics
Common features
State dependent
Risk aversion
Fator estocástico de descontos
Característica Comum de correlação serial
Econometria de dados em painel
Características comuns
Dependente de estado
Aversão ao risco
Economia
Modelo de precificação de ativos
Risco (Economia)
title_short Ensaios sobre o fator estocástico de descontos
title_full Ensaios sobre o fator estocástico de descontos
title_fullStr Ensaios sobre o fator estocástico de descontos
title_full_unstemmed Ensaios sobre o fator estocástico de descontos
title_sort Ensaios sobre o fator estocástico de descontos
author Araújo, Fabio
author_facet Araújo, Fabio
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.member.none.fl_str_mv Bonomo, Marco Antônio Cesar
Almeida, Caio Ibsen Rodrigues de
Fernandes, Marcelo
Lima, Eduardo José Araújo
dc.contributor.author.fl_str_mv Araújo, Fabio
dc.contributor.advisor1.fl_str_mv Issler, João Victor
contributor_str_mv Issler, João Victor
dc.subject.eng.fl_str_mv Stochastic discount factor
Serial correlation common features
Panel data econometrics
Common features
State dependent
Risk aversion
topic Stochastic discount factor
Serial correlation common features
Panel data econometrics
Common features
State dependent
Risk aversion
Fator estocástico de descontos
Característica Comum de correlação serial
Econometria de dados em painel
Características comuns
Dependente de estado
Aversão ao risco
Economia
Modelo de precificação de ativos
Risco (Economia)
dc.subject.por.fl_str_mv Fator estocástico de descontos
Característica Comum de correlação serial
Econometria de dados em painel
Características comuns
Dependente de estado
Aversão ao risco
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Modelo de precificação de ativos
Risco (Economia)
description This work proposes alternative ways to consistently estimate an abstract measure, crucial to the study of intertemporal decisions, which is at the core of most macroeconomics and financial studies: the Stochastic Discount Factor (SDF). Using the Pricing Equation in a panel-data framework, is constructed a novel consistent estimator of the SDF which relies on the fact that its logarithm is pervasive to all asset returns of the economy. The resulting estimator is very simple to compute, does not dependent on strong economic assumptions, is suitable for testing different preference specifications or investigating intertemporal substitution puzzles, and can be used as basis to construct an estimator for the risk-free rate. Alternative identification strategies are applied and a parallel between it and identifications strategies based on other frameworks is drawn. Adding structure to the initial setup, two environments were the asymptotic distribution can be derived are presented. Finally, methodologies proposed are applied US and Brazilian data. Preference specifications usually found in the macro literature, as well as a class of state dependent preferences, are tested. The results for the US economy are particularly interesting, by performing formal tests, we cannot reject standard preference specifications used in the literature and estimates of the relative risk-aversion coefficient are between 1 and 2, and statistically indistinguishable from the unity. Moreover, for the class of state dependent preferences and using US quarterly data from 1972:1 and 2001:4, we estimate a highly dynamic path for the relative risk-aversion (rra) coefficient, confined to the interval [1.15, 2.05], and also reject the hypothesis of a constant level.
publishDate 2009
dc.date.issued.fl_str_mv 2009-08-10
dc.date.accessioned.fl_str_mv 2010-03-15T12:06:11Z
dc.date.available.fl_str_mv 2010-03-15T12:06:11Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/doctoralThesis
format doctoralThesis
status_str publishedVersion
dc.identifier.citation.fl_str_mv ARAÚJO, Fabio. Ensaios sobre o fator estocástico de descontos. Tese (Doutorado em Economia) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2009.
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identifier_str_mv ARAÚJO, Fabio. Ensaios sobre o fator estocástico de descontos. Tese (Doutorado em Economia) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2009.
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