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2021, vol. 16, br. 1, str. 39-47
Laplas, Hansen-Sardžent i Beveridž-Nelson napomena o jedinstvenoj poslovnoj primeni
aInstitut ekonomskih nauka, Beograd
bUniverzitet u Beogradu, Ekonomski fakultet

e-adresavladimir.andric@ien.bg.ac.rs
Ključne reči: Beveridž-Nelsonova dekompozicija; Hansen-Sardžentova formula predviđanja; Laplasove transformacije; novčani tokovi
Sažetak
U radu se izvodi uslov ekvivalencije između Beveridž-Nelsonove dekompozicije i HansenSardžentove formule predviđanja u kontinuiranom vremenu koristeći Laplasovu transformaciju. Predstavljeni rezultati pokazuju kako je Hansen-Sardžentova formula predviđanja relevantna ne samo za diskontovanje sadašnje vrednosti, već i za dekompoziciju gotovinskih tokova na trend i cikličnu komponentu u korporativnim finansijama.
Reference
Beveridge, S., Nelson, C. (1981) A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the 'business cycle'. Journal of Monetary Economics, 7(2): 151-174
Brunnermeier, M., Sannikov, Y. Macro, Money and Finance: A Continuous Time Approach. NBER Working Paper, No. 22343. Retreived from https://www.nber.org/system/files/working_papers/w22343/w22343.pdf
Buser, S. (1986) Laplace Transforms as Present Value Rules: A Note. Journal of Finance, 41 (1), 243-247
Chang, X., Dasgupta, S., Wong, G., Yao, J. (2014) Cash-Flow Sensitivities and the Allocation of Internal Cash Flow. Review of Financial Studies, 27 (12), 3628-3657
Cochrane, J. (2012) Continuous-Time Linear Models. Foundations and Trends in Finance, 6 (3), 165-219
Dasgupta, S., Noe, T.H., Wang, Z. (2011) Where Did All the Dollars Go? The Effect of Cash Flows on Capital and Asset Structure. Journal of Financial and Quantitative Analysis, 46(5): 1259-1294
Gatchev, V.A., Pulvino, T., Tarhan, V. (2010) The Interdependent and Intertemporal Nature of Financial Decisions: An Application to Cash Flow Sensitivities. Journal of Finance, 65(2): 725-763
Grubbström, R. (1967) On the Application of the Laplace Transform to Certain Economic Problems. Management Science, 13 (7), 558-567
Hansen, L.P., Sargent, T.J. (1981) A Note on the Wiener-Kolmogorov Prediction Formulas for Rational Expectations Models. Economic Letters, 8 (3), 255-260
Hendry, D., Pretis, F. (2016) All Change! The Implications of Non-Stationarity for Empirical Modelling, Forecasting and Policy. Oxford Martin School Policy Paper Series, Retreived from https://ssrn.com/abstract=2898761
Kamber, G., Morley, J., Wong, B. (2018) Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter. Review of Economics and Statistics, 100 (3), 550-566
Nelson, C.R. (2008) The Beveridge-Nelson Decomposition in Retrospect and Prospect. Journal of Econometrics, 146 (2), 202-206
 

O članku

jezik rada: engleski
vrsta rada: izvorni naučni članak
DOI: 10.5937/sjm16-30877
primljen: 16.02.2021.
prihvaćen: 14.03.2021.
objavljen u SCIndeksu: 17.06.2021.
metod recenzije: dvostruko anoniman
Creative Commons License 4.0

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