Το ασφάλιστρο κινδύνου σε περιβάλλον μετ[α]βλητής διακύμανσης
Ρούκα, Μαρία Η.
SubjectΔιαχείριση κινδύνου -- Οικονομετρικά μοντέλα ; Διαχείριση κινδύνου -- Στατιστικές μέθοδοι ; Μετοχές
We address the issue of time-varying equity premium. Our hypothesis is that this premium may vary with both financial market and economic conditions. In particular, we measure the implied coefficient of relative risk aversion (RRA) across high and low volatility states for both stock market returns and consumption growth. This study focuses on the characteristics of nineteen developed countries all over the world. Although we use the same approach to model the investor`s behavior, the results differ across countries, thus we are not able to proceed to some general conclusions. When we use the traditional approach, ignoring regime shifts, we get either high risk aversion coefficients, which explain the equity premium, or values below zero, which do not present any financial interest. We continue by calculating four new coefficients under regime switching in both stock markets and economic conditions. The results appear to be satisfying in many cases where the estimated parameters seem to be further reduced compared with the initial estimates. In this case, both negative values and some extremely large prices appear, mainly when stock markets go through turbulent periods. For the hypothetical situation where the correlation between stock returns and consumption growth is unity, in every country and for almost every possible combination, the estimated coefficients are found to be economically plausible.