Symmetry Restrictions in a System of Financial Asset Demands: A Theoretical and Empirical Analysis
The symmetry restriction in a system of financial asset demands has frequently been employed to reduce the number of independent parameters to be estimated. The theoretical implications of the symmetry restriction are examined in this paper, and it is found that symmetry implies a particular type of risk averse portfolio behavior. The symmetry restriction is also examined empirically, and the evidence supports symmetry only in cases where coefficients on cross-asset yields are insignificantly different from zero.
|Date of creation:||Dec 1980|
|Publication status:||published as Roley, V. Vance. "Symmetry Restrictions in a System of Financial Asset Demands: A Theoretical and Empirical Results." The Review of Economics and Statistics, Vol. 65, No. 1, (February 1983) pp. 124-130.|
|Contact details of provider:|| Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.|
Web page: http://www.nber.org
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- M. S. Feldstein, 1969. "Mean-Variance Analysis in the Theory of Liquidity Preference and Portfolio Selection," Review of Economic Studies, Oxford University Press, vol. 36(1), pages 5-12.
- Friedman, Benjamin Morton, 1977. "Financial Flow Variables and the Short-Run Determination of Long-Term Interest Rates," Scholarly Articles 4554309, Harvard University Department of Economics.
- Miller, Stephen M., 1975. "Measures of Risk Aversion: Some Clarifying Comments," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(02), pages 299-309, June.
- J. Tobin, 1958.
"Liquidity Preference as Behavior Towards Risk,"
Review of Economic Studies,
Oxford University Press, vol. 25(2), pages 65-86.
- James Tobin, 1956. "Liquidity Preference as Behavior Towards Risk," Cowles Foundation Discussion Papers 14, Cowles Foundation for Research in Economics, Yale University.
- Adler, Michael, 1969. "On the Risk-Return Trade-off in the Valuation of Assets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 4(04), pages 493-512, December.
- James Tobin, 1969. "Comment on Borch and Feldstein," Review of Economic Studies, Oxford University Press, vol. 36(1), pages 13-14.
- Brundy, James M & Jorgenson, Dale W, 1971. "Efficient Estimation of Simultaneous Equations by Instrumental Variables," The Review of Economics and Statistics, MIT Press, vol. 53(3), pages 207-224, August.
- Edward M. Gramlich & John H. Kalchbrenner, 1970. "A constrained estimation approach to the demand for liquid assets," Special Studies Papers 3, Board of Governors of the Federal Reserve System (U.S.).
- William C. Brainard & James Tobin, 1968. "Pitfalls in Financial Model-Building," Cowles Foundation Discussion Papers 244, Cowles Foundation for Research in Economics, Yale University.
- Courakis, A S, 1974. "Clearing Bank Asset Choice Behaviour: A Mean Variance Treatment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 36(3), pages 173-201, August.
- K. Borch, 1969. "A Note on Uncertainty and Indifference Curves," Review of Economic Studies, Oxford University Press, vol. 36(1), pages 1-4.
- Benjamin M. Friedman & V. Vance Roley, 1979. "A Note on the Derivation of Linear Homogeneous Asset Demand Functions," NBER Working Papers 0345, National Bureau of Economic Research, Inc.
- M. Parkin, 1970. "Discount House Portfolio and Debt Selection," Review of Economic Studies, Oxford University Press, vol. 37(4), pages 469-497.
- G. O. Bierwag & M. A. Grove, 1968. "Slutsky Equations for Assets," Journal of Political Economy, University of Chicago Press, vol. 76, pages 114-114.
- Lintner, John, 1970. "The Market Price of Risk, Size of Market and Investor's Risk Aversion," The Review of Economics and Statistics, MIT Press, vol. 52(1), pages 87-99, February.
- James M. Brundy & Dale W. Jorgenson, 1971. "Efficient estimation of simultaneous equations by instrumental variables," Working Papers in Applied Economic Theory 3, Federal Reserve Bank of San Francisco. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:nbr:nberwo:0593. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.