Shock elasticities and impulse responses
Tóm tắt
We construct shock elasticities that are pricing counterparts to impulse response functions. Recall that impulse response functions measure the importance of next-period shocks for future values of a time series. Shock elasticities measure the contributions to the price and to the expected future cash flow from changes in the exposure to a shock in the next period. They are elasticities because their measurements compute proportionate changes. We show a particularly close link between these objects in environments with Brownian information structures.
Tài liệu tham khảo
Anderson, E.W., Hansen, L.P., Sargent, T.J.: A quartet of semigroups for model specification, robustness, prices of risk, and model detection. J. Eur. Econ. Assoc. 1(1), 68–123 (2003)
Bansal, R., Yaron, A.: Risks for the long run: a potential resolution of asset pricing puzzles. J. Finance 59(4), 1481–1509 (2004)
Bismut, J.-M.: Martingales, the Malliavin calculus and hypoellipticity under general Hörmander’s conditions. Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete 56, 469–505 (1981)
Borovička, J., Hansen, L.P.: Examining macroeconomic models through the lens of asset pricing. J. Econom. (forthcoming)
Borovička, J., Hansen, L.P., Hendricks, M., Scheinkman, J.A.: Risk price dynamics. J. Financ. Econom. 9(1), 3–65 (2011)
Breeden, D.T.: An intertemporal asset pricing model with stochastic consumption and investment opportunities. J. Financ. Econ. 7(3), 265–296 (1979)
Duffie, D., Epstein, L.G.: Stochastic differential utility. Econometrica 60(2), 353–394 (1992)
Duffie, D., Kan, R.: Multi-factor term structure models. Philos. Trans. 347(1684), 577–586 (1994)
Epstein, L.G., Zin, S.E.: Substitution, risk aversion, and the temporal behavior of consumption and asset returns: a theoretical framework. Econometrica 57(4), 937–969 (1989)
Fournié, E., Lasry, J.-M., Lebuchoux, J., Lions, P.-L.: Applications of Malliavin calculus to Monte-Carlo methods in finance. Finance Stoch. 3(4), 391–412 (1999)
Frisch, R.: Propagation problems and impulse problems in dynamic economics. In: Ginsburgh, V., Keyzer, M. (eds.) Economic Essays in Honour of Gustav Cassel. Allen and Unwin, London (1933)
Gallant, A.R., Rossi, P.E., Tauchen, G.: Nonlinear dynamic structures. Econometrica 61(4), 871–907 (1993)
Gourieroux, C., Jasiak, J.: Nonlinear innovations and impulse responses with application to VaR sensitivity. Annales d’Économie et de Statistique 78, 1–31 (2005)
Hansen, L.P.: Dynamic valuation decomposition within stochastic economies. Econometrica 80(3), 911–967 (3). Fisher–Schultz Lecture at the European Meetings of the Econometric Society (2012)
Hansen, L.P., Scheinkman, J.A.: Long-term risk: an operator approach. Econometrica 77(1), 117–234 (2009)
Hansen, L.P., Scheinkman, J.A.: Pricing growth-rate risk. Finance Stoch. 16(1), 1–15 (2012)
Hansen, L.P., Heaton, J.C., Lee, J., Roussanov, N.: Intertemporal substitution and risk aversion. In: Heckman, J.J., Leamer, E.E. (eds.) Handbook of Econometrics, vol. 6A. North-Holland, Amsterdam (2007)
Hansen, L.P., Heaton, J.C., Li, N.: Consumption strikes back? Measuring long-run risk. J. Polit. Econ. 116(2), 260–302 (2008)
Koop, G., Pesaran, M.H.: Impulse response analysis in nonlinear multivariate models. J. Econom. 74(1), 119–147 (1996)
Kreps, D.M., Porteus, E.L.: Temporal resolution of uncertainty and dynamic choice theory. Econometrica 46(1), 185–200 (1978)
Lucas Jr, R.E.: Asset prices in an exchange economy. Econometrica 46(6), 1429–1445 (1978)
Øksendal, B.: An Introduction to Malliavin Calculus with Applications to Economics. Springer, New York (1997)
Schroder, M., Skiadas, C.: Optimal consumption and portfolio selection with stochastic differential utility. J. Econ. Theory 89(1), 68–126 (1999)
Wu, W.B.: Nonlinear system theory: another look at dependence. Proc Natl Acad Sci USA 102(40), 14150–14154 (2005)