Welcome to our replication of Koijen & Yogo (2019)#
Welcome to our replication exercise based on Koijen & Yogo (2019), a deep dive into the demand system approach to asset pricing and its potential applications. This project, authored by Martin Rinaldi and Spencer Dean, and submitted to Prof. Alberto Mokak Teguia, aims to provide a comprehensive understanding of the paper’s main findings and motivate our proposal for an extension.
Throughout this Jupyter Book, we will implement two simple examples that not only summarize the key takeaways of the paper but also illustrate the practical relevance of the demand system asset pricing approach in the field of finance.