abstract: This paper studies the dynamic relationship between the pricing of Alternative Asset Management products and macroeconomic variables. It does so using an index of Alternative Asset Management products, employing a VAR framework and examining the implied impulse response functions. I find a bivariate causal relation between the expected rate of return on Alternative Asset Management products and the growth rate of industrial value added. I also find that the CPI, the yield on one-year national debt, the weighted average yield of bond repurchases in interbank bond market, and the one-year loan interest rate can influence the expected return rate of Alternative Asset Management products. An analysis of the variance decomposition suggests that macroeconomic variables have a different impacts on forecast errors variance. / Dissertation/Thesis / Doctoral Dissertation Business Administration 2016
| Identifer | oai:union.ndltd.org:asu.edu/item:38728 |
| Date | January 2016 |
| Contributors | Huang, Jianxian (Author), Wahal, Sunil (Advisor), Chang, Chun (Advisor), Lee, Peggy (Committee member), Arizona State University (Publisher) |
| Source Sets | Arizona State University |
| Language | Chinese |
| Detected Language | English |
| Type | Doctoral Dissertation |
| Format | 70 pages |
| Rights | http://rightsstatements.org/vocab/InC/1.0/, All Rights Reserved |
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