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Non-falsified Expectations and General Equilibrium Asset Pricing: The Power of the Peso

✍ Scribed by Jean-Pierre Danthine; J. B. Donaldson

Book ID
108557231
Publisher
John Wiley and Sons
Year
1999
Tongue
English
Weight
277 KB
Volume
109
Category
Article
ISSN
0013-0133

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## Abstract The comovements of spot and futures prices are characterized by six binary variables, including the term structure curvature of futures prices. These variables are used to uniquely identify 48 possible comovement patterns. Among them, 24 cases are associated with __mean reversion,__ whi