TY  - UNPD
A1  - Grammig, Joachim
A1  - Küchlin, Eva-Maria
T1  - A two-step indirect inference approach to estimate the long-run risk asset pricing model
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 572
N2  - The long-run consumption risk model provides a theoretically appealing explanation for prominent asset pricing puzzles, but its intricate structure presents a challenge for econometric analysis. This paper proposes a two-step indirect inference approach that disentangles the estimation of the model's macroeconomic dynamics and the investor's preference parameters. A Monte Carlo study explores the feasibility and efficiency of the estimation strategy. We apply the method to recent U.S. data and provide a critical re-assessment of the long-run risk model's ability to reconcile the real economy and financial markets. This two-step indirect inference approach is potentially useful for the econometric analysis of other prominent consumption-based asset pricing models that are equally difficult to estimate.
T3  - CFS working paper series - 572 
KW  - indirect inference estimation
KW  - asset pricing
KW  - longrun risk
Y1  - 2017
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/43858
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-438582
UR  - https://ssrn.com/abstract=3038722
IS  - May 27, 2017
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -