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Economics of Emerging Markets
This book presents recent significant research dealing the economics of emerging markets. The term emerging markets is commonly used to describe business and market activity in industrialising or emerging regions of the world. The term is sometimes loosely used as a replacement for emerging economies, but really signifies a business phenomenon that is not fully described by or constrained to geography or economic strength; such countries are considered to be in a transitional phase between developing and developed status. Examples of emerging markets include China, India, Mexico, Brazil, much of Southeast Asia, countries in Eastern Europe, parts of Africa and Latin America. An emerging market is sometimes defined as "a country where politics matters at least as much as economics to the markets."
Evaluating Stochastic Discount Factor Models Using Hansen-Jagannathan Volatility Bounds
This paper studies three consumption-based Asset Pricing models. The stochastic discount factors generated by the models are evaluated according to its ability to satisfy the Hansen and Jagannathan (1991) volatility bounds. In this article, three models based upon a representative agent, which chooses her consumption path over time as well as the allocation of her wealth by purchasing a risky and a risk free asset, are compared. In this context, the stochastic discount factor is related to the inter-temporal marginal rate of substitution that depends on the utility function specified for the representative agent. Three classic specifications are considered: a constant relative risk aversion utility function, habit persistence and the preference representation proposed by Epstein and Zin (1991). The econometric procedures based upon the volatility bounds are unable to identify the stochastic discount factor capable of describing the data more accurately. In addition, the findings reported here are consistent with empirical evidences pointing out to the inexistence of an Equity Premium Puzzle in Brazil.
Estudos econômicos
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