Υπερεξωγένεια και η κριτική του Lucas: διαρθρωτική αμεταβλητότητα και οικονομική πολιτική : μια εμπειρική ανάλυση για το μοντέλο της αγοράς

Abstract

This study investigates empirically the validity of the superexogeneity assumption in the framework of the market model which is widely used for estimating the systematic risk of a stock through its beta parameter. It is based on the stylized fact that beta is unstable through time and aims in providing a theoretical interpretation of this by linking this instability to a possible rejection of the superexogeneity assumption of the market index’s returns for the parameter beta. Such a finding would mean that regime switches in the GM (generating mechanism) of market index’s returns are “passed through” to the GM of equities’ returns and this is reflected by the instability of beta.