Markov Switching Processes and Financial Applications

马尔可夫转换过程和金融应用

• 批准号: RGPIN-2018-04891
• 负责人: Garcia, René
• 金额: $ 1.31万
• 依托单位: Université de Montréal
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2020
• 资助国家: 加拿大
• 起止时间: 2020-01-01 至 2021-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=712878
• 关键词: Markov; Switching; Processes; Financial; Applications

Since the seminal paper of Hamilton (1989), regime switching models have been used widely in diverse fields of finance. These models can capture abrupt and sudden changes often observed in the behavior of financial markets. Currency crises, stock market bubbles, or sharp changes in the volatility of asset prices or exchange rates are examples of such phenomena. Means and volatilities of financial returns can change between regimes, as well as the correlations between returns of several assets. In this project we intend to use such models in asset allocation and asset pricing. We also want to develop easy to implement tests for the number of regimes. In asset allocation, regime switching models of asset returns are able, for example, to capture a higher correlation structure in bear periods or heteroscedasticity through distinct volatilities in different regimes. Our interest is to apply this class of models in a general investor's problem with finite horizon, in which the agent optimally chooses portfolio allocation and (possibly) consumption with stochastic differential utility preferences. The goal is to develop approximate analytical solutions for the optimal portfolio and consumption in a multiregime economy. In asset pricing, Bonomo, Garcia, Meddahi et Tedongap (2011) have modeled long-run risks in fundamentals with regimes to price assets in equilibrium with disappointment aversion recursive utility. The Markov structure leads to closed-form expressions for many statistics of interest such as means and volatilities of returns, and coefficients of predictability regressions. Our new contribution will extend such model to capture the term structure of equity returns. Traditional models have a hard time explaining the fact that short-term equity claims, or dividend strips, have higher average returns and Sharpe ratios than the aggregate stock market (see van Binsbergen and Koijen, 2016). Our third line of investigation aims at developing a test to determine the number of regimes in a given set of data. The available tests (Garcia, 1998; Carrasco et al., 2014) are applicable to testing a two-regime model against a linear model. Their extension to higher numbers of regimes appears very challenging. We intend to examine the size and power properties of two simple regression-based tests used in Garcia and Perron (1996).

自Hamilton（1989）的开创性论文发表以来，制度转换模型已广泛应用于金融的各个领域。这些模型可以捕捉到金融市场行为中经常观察到的突然变化。货币危机、股市泡沫或资产价格或汇率波动的急剧变化都是这种现象的例子。金融回报的均值和波动性在不同制度之间会发生变化，多种资产回报之间的相关性也会发生变化。在这个项目中，我们打算在资产配置和资产定价中使用这些模型。我们还希望开发易于实施的制度数量测试。