9,992 research outputs found
Does aggregate relative risk aversion change countercyclically over time? evidence from the stock market
Using a semiparametric estimation technique, we show that the risk-return tradeoff and the Sharpe ratio of the stock market increases monotonically with the consumption wealth ratio (CAY) across time. While early studies have commonly interpreted such a finding as evidence of the countercyclical variation in aggregate relative risk aversion (RRA), we argue that it mainly reflects changes in investment opportunities for two reasons. First, we fail to reject the null hypothesis of constant RRA after controlling for CAY as a proxy for the hedge against changes in the investment opportunity set. Second, by contrast with habit formation models but consistent with ICAPM, we find that loadings on the conditional stock market variance scaled by CAY are negatively priced in the cross-sectional regressions. For illustration, we replicate the countercyclical stock market risk-return tradeoff using simulated data from Guo's (2004) limited stock market participation model, in which RRA is constant and CAY is a proxy for shareholders' liquidity conditions.Capital assets pricing model ; Stock market
International transmission of inflation among G-7 countries: a data-determined VAR analysis
We investigate the international transmission of inflation among G-7 countries using a data-determined vector autoregression analysis, as advocated by Swanson and Granger (1997). Over the period 1973 to 2003, we find that U.S. innovations have a large effect on inflation in the other countries, although they are not always the dominant international factor. Similarly, shocks to some other countries also have a statistically and economically significant influence on U.S. inflation. Moreover, our evidence indicates that U.S. inflation has become less vulnerable to foreign shocks since the early 1990s, mainly because of the diminished influence from Germany and FranceInternational finance ; Time-series analysis
Gradient flow approach to an exponential thin film equation: global existence and latent singularity
In this work, we study a fourth order exponential equation, derived from thin film growth on crystal surface in multiple
space dimensions. We use the gradient flow method in metric space to
characterize the latent singularity in global strong solution, which is
intrinsic due to high degeneration. We define a suitable functional, which
reveals where the singularity happens, and then prove the variational
inequality solution under very weak assumptions for initial data. Moreover, the
existence of global strong solution is established with regular initial data.Comment: latent singularity, curve of maximal slope. arXiv admin note: text
overlap with arXiv:1711.07405 by other author
Frequency Detection and Change Point Estimation for Time Series of Complex Oscillation
We consider detecting the evolutionary oscillatory pattern of a signal when
it is contaminated by non-stationary noises with complexly time-varying data
generating mechanism. A high-dimensional dense progressive periodogram test is
proposed to accurately detect all oscillatory frequencies. A further
phase-adjusted local change point detection algorithm is applied in the
frequency domain to detect the locations at which the oscillatory pattern
changes. Our method is shown to be able to detect all oscillatory frequencies
and the corresponding change points within an accurate range with a prescribed
probability asymptotically. This study is motivated by oscillatory frequency
estimation and change point detection problems encountered in physiological
time series analysis. An application to spindle detection and estimation in
sleep EEG data is used to illustrate the usefulness of the proposed
methodology. A Gaussian approximation scheme and an overlapping-block
multiplier bootstrap methodology for sums of complex-valued high dimensional
non-stationary time series without variance lower bounds are established, which
could be of independent interest
Is value premium a proxy for time-varying investment opportunities: some time series evidence
We uncover a positive, empirical risk-return tradeoff in the stock market after controlling for the covariance of stock market returns with the value premium. The underlying premise is that, as conjectured by Fama and French (1996), the value premium is a proxy for time-varying investment opportunities. By ignoring the value premium, early specifications suffer from an omitted variable problem that leads to a downward bias in the estimate of the risk-return tradeoff. The paper also documents a new finding on a significantly positive relation between the value premium and its conditional variance.Time-series analysis ; Stocks
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