OxTalks is Changing
OxTalks will soon move to the new Halo platform and will become 'Oxford Events.' There will be a need for an OxTalks freeze. This was previously planned for Friday 14th November – a new date will be shared as soon as it is available (full details will be available on the Staff Gateway).
In the meantime, the OxTalks site will remain active and events will continue to be published.
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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 long-run risk models and (time-varying) rare-disaster risk models. Building on recent developments in the conditional inference literature, we provide a novel conditional specification test by simulating the critical value conditional on a sufficient statistic. This sufficient statistic can be intuitively interpreted as a measure capturing the macroeconomic information decoupled from the underlying content of asset pricing theories. Macro-finance decoupling is an effective way to improve the power of the specification test when asset pricing theories are difficult to refute because of a severe imbalance in the information content about the key model parameters between macroeconomic moment restrictions and asset pricing cross-equation restrictions. For empirical application, we apply the proposed conditional specification test to evaluate a time-varying rare-disaster risk model and construct data-driven robust model uncertainty sets.
Link to paper: web.sas.upenn.edu/xucheng/files/2021/02/ChengDouLiao_RnR.pdf
Sign up for meetings here: docs.google.com/spreadsheets/d/1GRwPBmtpUwstC4fdLZrnxfnARNYHedHykoRZG4Xq2Bo/edit#gid=0
Date:
14 May 2021, 14:15
Venue:
Held on Zoom
Speaker:
Xu Cheng (University of Pennsylvania)
Organising department:
Department of Economics
Part of:
Nuffield Econometrics Seminar
Booking required?:
Not required
Audience:
Members of the University only
Editor:
Melis Clark
