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2021, vol. 16, br. 1, str. 39-47
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Laplas, Hansen-Sardžent i Beveridž-Nelson napomena o jedinstvenoj poslovnoj primeni
Laplace, Hansen-Sargent and Beveridge-Nelson a note towards unified business application
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.
Abstract
The paper derives the equivalence condition between the Beveridge-Nelson decomposition and the Hansen-Sargent prediction formula in continuous time using Laplace transforms. The results presented show how the Hansen-Sargent prediction formula is relevant not just for present value discounting but also for the trend-cycle decomposition of cash flow streams in corporate finance.
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Reference
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