MACRO-FINANCE DECOUPLING: ROBUST EVALUATIONS OF MACRO ASSET PRICING MODELS

This paper shows that robust inference under weak identification is important to the evaluation of many influential macro asset pricing models, including (time-varying) rare-disaster risk models and long-run risk models. Building on recent developments in the conditional inference literature, we pro...

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Bibliographic Details
Published in:Econometrica 2022-03, Vol.90 (2), p.685-713
Main Authors: Cheng, Xu, Dou, Winston Wei, Liao, Zhipeng
Format: Article
Language:English
Subjects:
Asset pricing
Conditional inference
Disasters
Finance
Imbalance
Inference
Information content
information imbalance
long‐run risk
Macroeconomics
Novels
rare disasters
Risk
Specification
structural asset pricing
Uncertainty
weak identification
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