Avaliando três especificações para o fator de desconto estocástico através da fronteira de volatilidade de Hansen e Jagannathanum estudo empírico para o Brasil

Resumo

This paper studies three consumption-based Asset Pricing models. The stochastic discount factors generated by the models are evaluated according to its ability to satisfy the Hansen and Jagannathan (1991) volatility bounds. In this article, three models based upon a representative agent, which chooses her
 consumption path over time as well as the allocation of her wealth by purchasing a risky and a risk free
 asset, are compared. In this context, the stochastic discount factor is related to the inter-temporal marginal
 rate of substitution that depends on the utility function specified for the representative agent. Three classic specifications are considered: a constant relative risk aversion utility function, habit persistence and the preference representation proposed by Epstein and Zin (1991). The econometric procedures based upon the volatility bounds are unable to identify the stochastic discount factor capable of describing the data more accurately. In addition, the findings reported here are consistent with empirical evidences pointing out to the inexistence of an Equity Premium Puzzle in Brazil.

Ficha do documento

Tipo

Artigo científico

Ano

2005

Instituição

Instituto de Pesquisa Econômica Aplicada (Ipea)

Fonte

Repositório do Ipea

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.ipea.gov.br:11058/4395

Licença

Licença Comum

Abrangência

Brasil

Temas

Economia

Palavras-chave

Condições Econômicas. Pesquisa Econômica. Sistemas EconômicosModelo de apreçamento de ativosFunção com coeficiente de aversão relativa ao risco constanteFormação de HábitoEspecificação proposta por Epstein e ZinEquity Premium Puzzle