Risk aversion, intertemporal substitution, and the term structure of interest rates (JAE 2012)

From ReplicationWiki
Jump to: navigation, search
How revelant do you consider a replication of this study? You may discuss on the discussion page.


Nobody voted on this yet

 You need to enable JavaScript to vote


Here you find a ranking of the studies that are regarded most relevant to be replicated.

Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
René Garcia, Richard Luger Risk aversion, intertemporal substitution, and the term structure of interest rates JAE 2012 6 1013-36 E43, E44, G12 Recursive utility, Yield curve, Affine macro-finance model, Bond risk premium, Expectations puzzle

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
0 - not available online 1 - accessible on journal website 1 - accessible on journal website - - quarterly data on US nominal interest rates, equities, inflation, and real consumption, Real aggregate consumption is based on personal consumption expenditures on non-durables and services from, US Bureau of Economic Analysis (BEA), per capita consumption obtained by dividing real aggregate consumption by total population, level of market portfolio proxied by value-weighted index of stocks, including dividends, traded on the, NYSE, AMEX, NASDAQ, obtained from, Center for Research in Security Prices (CRSP), inflation data on, Consumer price index (CPI), from, Federal Reserve Bank of St. Louis, level data on real per capita consumption, the stock market index, and the CPI were aggregated up to the quarterly frequency by averaging the monthly observations, return on the market portfolio, the rate of inflation, and growth rate of consumption defined as changes in (log) values of the corresponding level data, bond data set of monthly zero-coupon yields from CRSP - -

Replication of this study

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement

References

DOI: 10.1002/jae.1247 IDEAS: a/wly/japmet/v27y2012i6p1013-1036.html EconPapers: RePEc:wly:japmet:v:27:y:2012:i:6:p:1013-1036


Personal tools
Namespaces

Variants
Actions
Navigation
Toolbox