Servicenavigation

Project A4: Asset pricing and macroeconomic allocations under aggregate risk

Project leaders

Christoph Hanck

Ludger Linnemann

Martin Wagner

Abstract

This project analyzes the transmission channels of macroeconomic shocks and economic policy with a focus on time-varying risk premia. We identify fundamental shocks via implications of non-normality and cointegrating relationships and extend nonlinear cointegrating regression theory towards situations with time-varying second moments.