{"id":16764,"date":"2002-08-05T00:00:00","date_gmt":"2002-08-05T00:00:00","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/consumo-precios-de-activos-y-ecuaciones-de-euler\/"},"modified":"2002-08-05T00:00:00","modified_gmt":"2002-08-05T00:00:00","slug":"consumo-precios-de-activos-y-ecuaciones-de-euler","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/ciencias-economicas\/consumo-precios-de-activos-y-ecuaciones-de-euler\/","title":{"rendered":"Consumo, precios de activos y ecuaciones de euler"},"content":{"rendered":"<h2>Tesis doctoral de <strong> Elena Marquez De La Cruz <\/strong><\/h2>\n<p>Esta tesis se desarrolla en el marco del modelo de valoraci\u00f3n de activos basado en consumo (ccapm). El modelo es contrastado emp\u00edricamente para el caso del mercado de valores espa\u00f1ol. Concretamente, empleando la t\u00e9cnica de la cota de hansen y jagannathan, se procede a realizar una preselecci\u00f3n de los factores de descuento estoc\u00e1sticos compatibles con el conjunto de tasas de retorno observadas en el mercado de valores espa\u00f1ol. Posteriormente, mediante el m\u00e9todo generalizado de los momentos, gmm, se procede a estimar el modelo con diferentes tipos de datos de consumo y diferentes tipos de datos de consumo y diferentes especificaciones de la funci\u00f3n de utilidad.  los resultados muestran que la eliminaci\u00f3n de la separabilidad intertemporal de las preferencias ayuda a la resoluci\u00f3n del rompecabezas de la prima de riesgo para el caso espa\u00f1ol. Igualmente, la consideraci\u00f3n de los efectos que el consumo duradero genera sobre la utilidad de los agentes se traduce en una reducci\u00f3n significativa de los valores estimados del par\u00e1metro de aversi\u00f3n relativa al riesgo.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Consumo, precios de activos y ecuaciones de euler<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Consumo, precios de activos y ecuaciones de euler <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Elena Marquez De La Cruz <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Complutense de Madrid<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 08\/05\/2002<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n<h3>Direcci\u00f3n y tribunal<\/h3>\n<ul>\n<li><strong>Director de la tesis<\/strong>\n<ul>\n<li>Ram\u00f3n Febrero Devesa<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: Andr\u00e9s Santiago Suarez  suarez <\/li>\n<li>Jos\u00e9 Casas pardo (vocal)<\/li>\n<li>Francisco Cabrillo rodriguez (vocal)<\/li>\n<li>pedro Schwartz giron (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Elena Marquez De La Cruz Esta tesis se desarrolla en el marco del modelo de valoraci\u00f3n de [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"default","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center 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