Explaining Asset Price Movements: An Unobserved Components Approach

这个有趣而重要的项目涉及对长期资产价格变动的分析。许多经济学家和其他金融分析师都试图解释股票市场价格的变动。为了做到这一点，他们引入了有效市场的概念，这是一个供给和需求力量不受任何方式的抑制，并能很快平衡的市场。然而，很明显，在没有任何明显的外部刺激的情况下，股票市场似乎经常出现波动，即使在观察到价格变动之后，解释它们往往也是非常困难的。预测则更加困难。股票价格与其他宏观经济变量（如长期债券收益率、汇率和私人消费支出水平）有一些共同的重要特征。这些变量在宏观经济理论和政策中发挥着关键作用，它们受到市场参与者对未来预期的极大影响。因此，解释它们的行为是很重要的。然而，它们显示的走势并非由经济中其他领域的事件所驱动。该项目的主要目标是解释为什么长期资产价格会这样变动。该项目由两个主要部分组成：1)建立一个框架，在这个框架中，资产价格水平和预期资产回报可以得到解释；2)推导出资产价格可能决定因素的经济重要性。从技术上讲，坎贝尔教授使用了一种称为不可观察成分的分析框架，在这种框架中，整个系统的不可观察状态根据一个过渡方程演变，观察到的数据被认为是潜在的连续过渡过程的离散实现。这项研究的一个重要方面是，坎贝尔教授将未观察到的成分分析的结果与其他标准技术（如向量自回归分析和一般平衡模型）的结果进行了比较。他还扩展了该框架，使其包括连续时间模型。

This interesting and important project concerns the analysis of the movements of prices of long-term assets. Many economists and other financial analysts have tried to explain the movements of prices in the stock market. To do this they have introduced the concept of an efficient market, that is a market where the supply and demand forces are not inhibited in any way and which equilibrates very quickly. However, it is clear that the stock market often seems to fluctuate without any obvious external stimulus, and explaining price movements is often very difficult even after they are observed. Prediction is yet more difficult. Stock prices share some important characteristics with other macroeconomic variables such as the long-term bond yield, the exchange rate, and the level of private consumption expenditure. These variables play a key role in macroeconomic theory and policy, and they are greatly affected by the market participants's expectations about the future. Thus explaining their behavior is important. However, they display movements which are not driven by events elsewhere in the economy. The major goal of this project is to explain why long-term asset prices move as they do. The project consists of two main sections: 1) the development of a framework in which asset price levels, as well as expected asset returns can be explained, and 2) derivation of measures of the economic importance of the possible determinants of asset prices. Technically, Professor Campbell uses an analytical framework known as unobservable components, in which the unobservable state of the entire system evolves according to a transition equation, and the observed data are considered to be discrete realizations of the underlying continuous transition process. An important aspect of this research is that Professor Campbell compares the results of the unobserved components analysis with those of other standard techniques, such as Vector Autoregression analysis and general equilibrium models. He also extends the framework to include continuous time models.