Peso problems in the estimation of the C‐CAPM

Autor: Juan Carlos Parra-Alvarez, Olaf Posch, Andreas Schrimpf

Publikováno v: Parra-Alvarez, J C, Posch, O & Schrimpf, A 2022, ' Peso problems in the estimation of the C-CAPM ', Quantitative Economics, vol. 13, no. 1, pp. 259-313 . https://doi.org/10.3982/QE1478

This paper shows that the consumption‐based capital asset pricing model (C‐CAPM) with low‐probability disaster risk rationalizes pricing errors. We find that implausible estimates of risk aversion and time preference are not puzzling if market

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8e43ad62d2cc347249c42c9981e7b861
https://doi.org/10.3982/qe1478

Optimal asset allocation for commodity sovereign wealth funds

Autor: Alfonso A. Irarrazabal, Lin Ma, Juan Carlos Parra-Alvarez

Publikováno v: Irarrazabal, A A, Ma, L & Parra-Alvarez, J C 2023, ' Optimal asset allocation for commodity sovereign wealth funds ', Quantitative Finance, vol. 23, no. 3, pp. 471-495 . https://doi.org/10.1080/14697688.2022.2158918
Parra-Alvarez, J C, Irarrazabal, A & Ma, L 2023, ' Optimal asset allocation for commodity sovereign wealth funds ', Quantitative Finance, vol. 23, no. 3, pp. 471-495 . < https://www.tandfonline.com/doi/full/10.1080/14697688.2022.2158918?src= >

This paper studies the dynamic asset allocation problem faced by an infinitively lived commodity-based sovereign wealth fund under incomplete markets. Assuming that the fund receives a non-tradable stream of commodity revenues until a predetermined d

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::90a084845efb837faeddef83731a5fad
https://pure.au.dk/portal/da/publications/optimal-asset-allocation-for-commodity-sovereign-wealth-funds(90e67535-e1c0-4bdc-b7d8-64b61d2cd771).html

Risk matters: Breaking certainty equivalence in linear approximations

Autor: Olaf Posch, Juan Carlos Parra-Alvarez, Hamza Polattimur

Publikováno v: Parra-Alvarez, J C, Polattimur, H & Posch, O 2021, ' Risk matters : Breaking certainty equivalence in linear approximations ', Journal of Economic Dynamics and Control, vol. 133, 104248 . https://doi.org/10.1016/j.jedc.2021.104248

In this paper we use the property that certainty equivalence, as implied by a first-order approximation to the solution of stochastic discrete-time models, breaks in its equivalent continuous-time version. We derive a risk-sensitive first-order pertu

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e36d640b2fb51a0ca4875f45e83ee959
https://doi.org/10.1016/j.jedc.2021.104248

What determines the sensitivity of the real exchange rate in Colombia to a terms of trade shock?

Autor: Juan Carlos Parra Alvarez, Lavan Mahadeva

Publikováno v: Aalborg University
Parra-Alvarez, J C & Mahadeva, L 2012, ' What determines the sensitivity of the real exchange rate in Colombia to a terms of trade shock? ', Macroeconomics and Finance in Emerging Market Economies, vol. 5, no. 2, pp. 161-176 . https://doi.org/10.1080/17520843.2012.682595

We show that the sensitivity of the real exchange rate to terms of trade shocks is greater the lower the elasticity of final and derived demand between domestic and imported items. We develop a novel Kalman filter-based method to estimate these key p

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7e83995d31065ea53845a6afdc6b3853
https://doi.org/10.1080/17520843.2012.682595

Time-Varying Disaster Risk Models: An Empirical Assessment of the Rietz-Barro Hypothesis

Autor: Juan Carlos Parra-Alvarez, Alfonso Irarrazabal

Publikováno v: SSRN Electronic Journal.

This paper revisits the t of disaster risk models where a representative agent has recursive preferences and the probability of a macroeconomic disaster changes over time. We calibrate the model as in Wachter (2013) and perform two sets of tests to a

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::7a21288fcec2383152adbc2bc30df4ee
https://doi.org/10.2139/ssrn.2559074