Académique Documents
Professionnel Documents
Culture Documents
Research Empirical
Evidence Links to
Asset Prices
Asset Pricing Implications
Literature Review
Rui Albuquerque2
Asymmetries In Macro
Broad Theme of
Research Empirical
Evidence Links to
Asset Prices
Asset Pricing Implications
Literature Review
Broad Questions
1
Asymmetries In Macro
Broad Theme of
Research Empirical
Evidence Links to
Asset Prices
Asset Pricing Implications
Literature Review
Asymmetries in Output
Implications for Risk
Sharing
Basics: Exceedence
Correlation
1
( X, Y |X > c, Y > c )
if
c 0
(X, (X,
Y |X <
Y c,
< Yc >
) c ) if=c
For normal distribution
Y |c,
X>
0 c ) for every c
(X, Y |X < c, Y <
Symmetric Exceedences
Asymmetries In Macro
(1)
Broad Theme of
Research Empirical
Evidence Links to
Asset Prices
Asset Pricing Implications
Literature Review
Asymmetries in Output
Implications for Risk
Sharing
Statistics
1980-2012
1980-1998
1999-2012
Mean Growth %
Mean Volatility %
Mean Upside Vol %
Mean Downside Vol %
Mean Correlation
Mean Positive Exceedence
Mean Negative Exceedence
1.008
15.77
9.03
12.20
0.23
0.08
0.31
1.65
14.89
9.39
9.89
0.14
0.102
0.105
.079
16.59
8.30
14.24
0.33
0.12
0.46
3
Source: Monthly Data from OECD Library for G7: Growth Rates are
annualized and data is measured at Monthly frequencies
Asymmetries In Macro
Broad Theme of
Research Empirical
Evidence Links to
Asset Prices
Asset Pricing Implications
Literature Review
Asymmetries in Output
Implications for Risk
Sharing
Asymmetries In Macro
Broad Theme of
Research Empirical
Evidence Links to
Asset Prices
Asset Pricing Implications
Literature Review
Asymmetries in Output
Implications for Risk
Sharing
Asymmetries In Macro
Broad Theme of
Research Empirical
Evidence Links to
Asset Prices
Asset Pricing Implications
Literature Review
Asymmetries in Output
Implications for Risk
Sharing
Asymmetries In Macro
Broad Theme of
Research Empirical
Evidence Links to
Asset Prices
Asset Pricing Implications
Literature Review
Asymmetries in Output
Implications for Risk
Sharing
Some Robustness
Checks
1
2
3
4
Broad Theme of
Research Empirical
Evidence Links to
Asset Prices
Asset Pricing Implications
Literature Review
Asymmetries in Output
Implications for Risk
Sharing
Interpretation:
(2)
t +1
Asymmetries In Macro
Broad Theme of
Research Empirical
Evidence Links to
Asset Prices
Asset Pricing Implications
Literature Review
Asymmetries in Output
Implications for Risk
Sharing
Asymmetries In Macro
Broad Theme of
Research Empirical
Evidence Links to
Asset Prices
Asset Pricing Implications
Literature Review
Asymmetries in Output
Implications for Risk
Sharing
Asymmetries In Macro
Broad Theme of
Research Empirical
Evidence Links to
Asset Prices
Asset Pricing Implications
Literature Review
Asymmetries in Output
Implications for Risk
Sharing
Asymmetries In Macro
Broad Theme of
Research Empirical
Evidence Links to
Asset Prices
Asset Pricing Implications
Literature Review
Stocks: Vanishing
Discontinuity at Zero!
Asymmetries In Macro
Broad Theme of
Research Empirical
Evidence Links to
Asset Prices
Asset Pricing Implications
Literature Review
Summarizing Main
Evidence
1
Asymmetries In Macro
Broad Theme of
Research Empirical
Evidence Links to
Asset Prices
Asset Pricing Implications
Literature Review
Properties of Pricing
Model
1
Two Facts
Asymmetries In Macro
Broad Theme of
Research Empirical
Evidence Links to
Asset Prices
Asset Pricing Implications
Literature Review
Framework
1
2
3
(6 y (s t ), 6 y (s t )) N (s t ), (s t )
4
5
6
(3)
C ti +1 = Y t +1 + Yt +1
(4)
Y t + Yt
C ti
Asymmetries In Macro
Broad Theme of
Research Empirical
Evidence Links to
Asset Prices
Asset Pricing Implications
Literature Review
PD Ratios: General
Issues Involved
1
Asymmetries In Macro
Broad Theme of
Research Empirical
Evidence Links to
Asset Prices
Asset Pricing Implications
Literature Review
Literature Review
3
4
Asymmetries In Macro
Broad Theme of
Research Empirical
Evidence Links to
Asset Prices
Asset Pricing Implications
Literature Review
Asymmetries In Macro