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1 edition of Nonlinearity and endogeneity in Macro-Asset pricing. found in the catalog.

Nonlinearity and endogeneity in Macro-Asset pricing.

Nonlinearity and endogeneity in Macro-Asset pricing.

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Published by International Monetary Fund in Washington, D.C .
Written in English


Edition Notes

Includes bibliographical references.

SeriesIMF working paper -- WP/95/32
ContributionsInternational Monetary Fund.
The Physical Object
Paginationiii, 27 p. ;
Number of Pages27
ID Numbers
Open LibraryOL16638941M

Downloadable! Determining the exchange rate pass-through on inflation is a necessity for central banks as well as for firms and households. This is an apparently easy and intuitive task, but it faces high complexity and uncertainty. This paper examines the short and long-term impact of an exchange rate shock on inflation along the distribution chain in the presence of endogeneity, nonlinearity. Nonlinearity and Endogeneity in Macro-Asset Pricing1 Craig Hiemstra University of Strathclyde Charles Kramer International Monetary Fund [email protected] Abstract. Linear asset-pricing relations, with macroeconomic factors as state variables, have found wide use in empirical finance.

  Fig. 1, Fig. 2 indicate that the rates of change between oil prices and the real effective exchange rates (REER) of India and China are not constant. Hence, we assumed that a nonlinear relation exists between oil price and REER in both countries. After ensuring the non-linear relationship between the two variables, in a second step, we checked the stationary property of oil prices and exchange. The book of a comprehensive survey of Japan's economy, politics, social and cultural factors, and related institutions may have symbolized the success story of a country which revived and rose.

Nonlinearity and Endogeneity in Macro-Asset Pricing, (). Oil Price History and Analysis, (). On Crime and Unemployment: An Approach Using Two Way Causality, (). Poverty and Inequality in .   Structural models and endogeneity in corporate finance: we follow one convention in the literature and use Tobin's Q, computed as the book value of total assets minus the book value of equity plus the market value of equity, all divided by total assets. We use data on the book value of total assets and sales as measures of firm size.


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Nonlinearity and endogeneity in Macro-Asset pricing Download PDF EPUB FB2

Nonlinearity and Endogeneity in Macro-Asset Pricing. Nonlinearity and Endogeneity in Macro-Asset Pricing Article (PDF Available) in Studies in Nonlinear Dynamics & Econometrics 95(32) April with 61 Reads How we measure 'reads'.

Nonlinearity and endogeneity in macro-asset pricing. [Craig Hiemstra; Charles Frederick Kramer; International Monetary Fund.

Research Department,] -- Annotation We find nonlinear feedback between the stock market and certain macroeconomic factors. This evidence calls into question the adequacy of these factors as a basis for a linear pricing.

Charles Frederick Kramer & Craig Hiemstra, "Nonlinearity and Endogeneity in Macro-Asset Pricing," IMF Working Papers /, International Monetary : RePEc:imf:imfwpa/Cited by: 2. This evidence calls into question the adequacy of these factors as a basis for a linear pricing model.

It also means that Nonlinearity and endogeneity in Macro-Asset pricing. book interaction between the economy and the stock market is more complicated than given by the simple relationship in Chen, Roll, and Ross (Journal of.

Nonlinearity and Endogeneity in Macro-Asset Pricing. IMF Working Paper No. 95/32 Number of pages: 32 Posted: 15 Feb You are currently viewing this paper Hiemstra, Craig and Kramer, Charles F., Nonlinearity and Endogeneity in Macro-Asset Pricing (March ).

IMF Working Paper, Vol., pp. Available at SSRN: Cited by: CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): $, Institutions $ Canadians add additional 7 % GST.

Prices subject to change without notice. Subscribers are licensed to use journal articles in a variety of ways, limited only as required to insure fair attribution to authors and the Journal, and to prohibit use in a competing commercial product.

Nonlinearity and Endogeneity in Macro-Asset Pricing. By Charles Frederick Kramer and Craig Hiemstra.

Abstract. We find nonlinear feedback between the stock market and certain macroeconomic factors. This evidence calls into question the adequacy of these factors as a basis for a linear pricing model.

It also means that the interaction between. Nonlinearity and Endogeneity in Macro-Asset Pricing. By Craig Hiemstra University, Craig Hiemstra and Charles Kramer. Abstract. Linear asset-pricing relations, with macr oeconomic factors as state variables, have found wide use in empirical finance.

Applications of such relations range from academic studies of market efficiency and market. Downloadable (with restrictions). Linear asset-pricing relations, with macroeconomic factors as state variables, have found wide usein empirical finance.

Applications of such relations range from academic studies of market efficiency andmarket anomalies to practical uses such as risk management and estimation of the cost of capital.

Nonlinearity and Endogeneity in Macro-Asset Pricing. By Hiemstra Craig and Kramer Charles. Abstract. Linear asset-pricing relations, with macroeconomic factors as state variables, have found wide usein empirical finance. Applications of such relations range from academic studies of market efficiency andmarket anomalies to practical uses such.

Nonlinearity and Endogeneity in Macro-Asset Pricing Author(s): Charles Kramer, and Craig Hiemstra Published Date: March Sections. BibTeX @INPROCEEDINGS{University95nonlinearityand, author = {Craig Hiemstra University and Craig Hiemstra and Charles Kramer}, title = {Nonlinearity and Endogeneity in Macro-Asset Pricing}, booktitle = {International Monetary Fund Working Paper}, year = {}}.

Nonlinearity and Endogeneity in Macro-Asset Pricing Prepared by Craig Hiemstra 1/ and Charles Kramer Authorized for distribution by David Folkerts-Landau March Abstract We find nonlinear feedback between the stock market and certain macroeconomic factors. This evidence calls into question the adequacy of.

On the Explanatory Power of Size and Book-to-Market Factors. Nonlinearity and Endogeneity in Macro-Asset Pricing. Article. Nonlinearity and Endogeneity in Macro-Asset Pricing. Citing. T o cite this article: Alexander Dentler, Gabriel Montes-Rojas & Jose Olmo () Endogeneity in Threshold Nonlinearity T ests, Communications in Statistics - Theory and Methods, Title: Nonlinearity and Endogeneity in Macro-Asset Pricing Author: Kramer, Frederick Charles ; Hiemstra, Craig Series: Working Paper No.

95/ Nonlinearity and Endogeneity in Macro-Asset Pricing. Downloads (,) 2 Nonlinearity and Endogeneity in Macro-Asset Pricing. IMF Working Paper No. 95/32 Number of pages: 32 Posted: 15 Feb Craig Hiemstra and Charles Kramer University of Strathclyde - Strathclyde Business School and International Monetary Fund (IMF) - Capital Markets.

Nonlinearity and Endogeneity in Macro-Asset Pricing. Downloads (,) Nonlinearity and Endogeneity in Macro-Asset Pricing. Posted: 07 Sep Craig Hiemstra and Charles Kramer. On the Explanatory Power of Size and Book-to-Market Factors. Posted: 07 Jan Craig Hiemstra and Charles Kramer, Nonlinearity and Endogeneity in Macro-Asset Pricing, Studies in Nonlinear Dynamics & Econometrics, 2, 3, ().

Crossref LARS PETER HANSEN and RAVI JAGANNATHAN, Assessing Specification Errors in Stochastic Discount Factor Models, The Journal of Finance, 52, 2, (), (). Craig Hiemstra and Charles Kramer, Nonlinearity and Endogeneity in Macro-Asset Pricing, Studies in Nonlinear Dynamics & Econometrics, 2, 3, ().

Crossref Anders Loflund and Kim Nummelin, On stocks, bonds and business conditions, Applied Financial Economics, 7, 2, (), (). However when the endogeneity exists in model in the sense that the regressor z t and the latent factor x t are contemporaneously correlated with each other, D is no longer identifiable.

Nevertheless (1) can be written as (11) y t = [ D + A E (x t z t T) { E (z t z t T) } − 1 ] z t + A [ x t − E (x t z t T) { E (z t z t T) } − 1 z."Nonlinearity and Endogeneity in Macro-Asset Pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol.

2(3), pagesOctober. Hull, John C & White, Alan D, "The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pagesJune.