Theoretical Relations Between Risk Premiums and Conditional Variances
Theoretical Relations Between Risk Premiums and Conditional Variances
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DOI：
10.1080/07350015.1993.10509946
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发表时间：
1993-04
影响因子：
3
通讯作者：
D. Backus;Allan W. Gregory
中科院分区：
文献类型：
--
作者：
D. Backus;Allan W. Gregory
许多时变风险溢价的统计模型，包括均值自回归条件异方差（ARCH），试图利用风险溢价与资产回报的条件方差或协方差之间的关系。我们在动态资产定价理论的数值版本中检验了这种关系，并表明它可以是递增的、递减的、平坦的或非单调的。它的形状既取决于代表主体的偏好，也取决于经济的随机结构。如果没有额外的结构，该理论既不能提供ARCH-in-mean规范的一般基础，也不能提供对其参数的简单解释。
Many statistical models of time-varying risk premiums, including the autoregressive conditional heteroscedasticity (ARCH)-in-mean, attempt to exploit a relation between risk premiums and conditional variances or covariances of asset returns. We examine this relation in numerical versions of a dynamic asset-pricing theory and show that it can be increasing, decreasing, flat, or nonmonotonic. Its shape depends on both the preferences of the representative agent and the stochastic structure of the economy. Without additional structure, the theory does not provide either a general foundation for ARCH-in-mean specifications or a simple interpretation of their parameters.