Aggregate Fluctuations and Economic Growth: A Case of Random-Walk Hypothesis

1987 ◽  
Author(s):  
Ching-Sheng Mao
Keyword(s):  
Economic Growth ◽  
Random Walk ◽  
Aggregate Fluctuations ◽  
Random Walk Hypothesis

scholarly journals Test of Random Walk Hypothesis in the Nigerian Stock Market

2015 ◽  
Vol 7 (2) ◽  
pp. 27-36 ◽  
Author(s):  
Joel Obayagbona ◽  
Sunday Osaretin Igbinosa
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Random Walk Hypothesis

scholarly journals A Wilcoxon signed-rank test for random walk hypothesis based on slopes

2014 ◽  
Vol 25 (6) ◽  
pp. 1499-1506 ◽  
Author(s):  
Tae Yoon Kim ◽  
Cheolyong Park ◽  
Seul Gee Kim ◽  
Min Seok Kim ◽  
Woo Jung Lee ◽  
...  
Keyword(s):  
Random Walk ◽  
Rank Test ◽  
Random Walk Hypothesis ◽  
Signed Rank ◽  
Wilcoxon Signed Rank Test ◽  
Signed Rank Test

A Theory of the Decreasing Term Structure of Discount Rates

2012 ◽  
Author(s):  
Christian Gollier
Keyword(s):  
Economic Growth ◽  
Random Walk ◽  
Term Structure ◽  
Stochastic Models ◽  
Driving Force ◽  
Parametric Uncertainty ◽  
Statistical Dependence ◽  
Discount Rates ◽  
Individual Preferences

This chapter aims to provide a unified theoretical foundation to the term structure of discount rates. To do this the chapter develops a benchmark model based on two assumptions: individual preferences toward risk, and the nature of the uncertainty over economic growth. Previously, it was shown that constant relative risk aversion, combined with a random walk for the growth of log consumption, yields a flat term structure for efficient discount rates. In this chapter, these two assumptions are relaxed by using a stochastic dominance approach. Stochastic models of economic growth with mean-reversion, Markov switches, and parametric uncertainty all exhibit some forms of positive statistical dependence of successive growth rates. Because this tends to magnify the long-term risk, it is the driving force of the decreasing nature of the term structure.

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