JER, 第 6-7 卷Hanyang Economic Research Institute in collaboration with Hanyang University College of Business and Economics, 2001 |
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第 1 到 3 筆結果,共 19 筆
第 175 頁
... forward rate does not follow a martingale process under rational expectations . To explain this , Sargent assumed a liquidity premium . Sargent defines the liquidity premium in the discrete time setting at each time t simply as E ( f ...
... forward rate does not follow a martingale process under rational expectations . To explain this , Sargent assumed a liquidity premium . Sargent defines the liquidity premium in the discrete time setting at each time t simply as E ( f ...
第 179 頁
... forward - rate process excluding the speculative bubble . If k interpreted as the forward rate excluding the speculative bubble , it is always a martingale under Q by Definition 1. Because the forward rate is a mar- tingale only under the ...
... forward - rate process excluding the speculative bubble . If k interpreted as the forward rate excluding the speculative bubble , it is always a martingale under Q by Definition 1. Because the forward rate is a mar- tingale only under the ...
第 184 頁
... forward rates excluding a speculative bubble under Q is determined by dk ( t , 7 ) = odź , where σ is constant . In other words , we assume that the volatility structure in Equations ( 9 ) and ( 10 ) is σ , σ , σ = σT . If we substitute ...
... forward rates excluding a speculative bubble under Q is determined by dk ( t , 7 ) = odź , where σ is constant . In other words , we assume that the volatility structure in Equations ( 9 ) and ( 10 ) is σ , σ , σ = σT . If we substitute ...
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Shahidur Rahman Sandly Sian Li Ngiang Serina | 29 |
in collaboration with Hanyang Economic Research Institute | 131 |
J4351 | |
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aggregate risk sharing Alog(c analysis assets assume bt+1 capital controls capital stock carved-out IPOs coefficient compliance constraint consumption denotes devaluation Doosan eco-label Economic Research effect efficiency wage elasticity empirical endowment enforcement environmental investments Equation equilibrium estimated exchange rate expected Əzi firms forecasts forward rate process Hanyang University households human capital increase input inspections interest rate IPOs Journal of Economic knowledge capital Korea Korea University labor income measure Monopolistic competition negative number of paddocks optimal order conditions output p-value paper parameters percent period plant prediction intervals problem Pt+1 R&D spillover rangeland rate of return regions and industries regression regulator regulatory risk aversion risk sharing sample Seoul National University shocks short duration grazing significant social rate solution speculative bubble Statistics steady Table tax rates tion trading day underpricing underwriters unemployment rate variables zero