La Curva de Retorno y el Modelo C-CAPM: Evidencia para Chile

Manuel González-Astudillo

MPRA Paper from University Library of Munich, Germany

Abstract: This document tries to show how the capital asset pricing model based on the consumption theory under uncertainty could reproduce the statistical moments of Chilean interest rates. In order to reach this objective a model like the one proposed by Lucas (1980) is simulated and the parameters of the model are estimated by means of the simulated method of moments. To carry out the simulations, processes for the rate of growth of endowment were specified covering AR (1), GARCH (1,1) and Markov switching specifications. Results show that the performance of the model is not the most adequate, but between the three chosen specifications, the one that allows for the coexistence of two states for the rate of growth of the endowment of the economy is the best in reproducing moments of interest rates.

Keywords: Consumption-CAPM Model; Simulated Method of Moments; Markov Switching Processes (search for similar items in EconPapers)
JEL-codes: E21 E27 E43 (search for similar items in EconPapers)
Date: 2004-12
New Economics Papers: this item is included in nep-fmk and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:309

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