Laplace, Hansen-Sargent and Beveridge-Nelson a note towards unified business application

  • Vladimir Andric Institute of Economic Sciences, Belgrade
  • Sanja Nenadovic PhD Candidate at Faculty of Economics, University of Belgrade
DOI: https://doi.org/10.5937/sjm16-30877
Keywords: Beveridge-Nelson decomposition, Hansen-Sargent prediction formula, Laplace transforms, cash flows

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.

Author Biography

Vladimir Andric, Institute of Economic Sciences, Belgrade

I am a researcher at the Institute of Economic Sciences (IES), Belgrade.

I hold a PhD in Economics from the Faculty of Economics, University of Belgrade.

In my research, I apply time series econometrics to policy-relevant issues in the areas of macroeconomics and energy economics.

 

References

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Brunnermeier, M., & Sannikov, Y. (2016). Macro, Money and Finance-A Continuous Time Approach. National Bureau of Economic Research. NBER Working Paper No. 22343. Retreived from https://www.nber.org/system/files/working_papers/w22343/w22343.pdf

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Published
2021/06/03
Issue
Vol. 16 No. 1 (2021): Serbian Journal of Management
Section
Original Scientific Paper

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