The Peso problem hypothesis and stock market returns
Article Abstract:
The Peso problem hypothesis is advocated in the financial literature to explain the historically puzzlingly high risk premium of stock returns. Using a dynamic model of learning, the implications of the Peso problem hypothesis are shown as far more reaching than the ones commonly advocated, implying most of the stylized facts about stock returns.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2004
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A nonparametric model for analysis of the EURO bond market
Article Abstract:
An analysis of individual countries within the EURO bond market with the help of statistical methods is presented. The estimated regression curves and the test indicate significant differences among European Monetary Union countries.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2003
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Switching equilibria: the present value model for stock prices revisited
Article Abstract:
The present value model for stock prices is studied in relation to mutually exclusive noetic predictions. Marked changes in switching equilibrium could involve great market swings in the stock market.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2004
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