Asset Returns and Economic Fluctuations

资产回报与经济波动

• 批准号: 9109040
• 负责人: John Cochrane
• 金额: $ 13.91万
• 依托单位: National Opinion Research Center
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 1991
• 资助国家: 美国
• 起止时间: 1991-09-01 至 1995-02-28
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9109040&HistoricalAwards=false
• 关键词: Asset; Returns; Economic; Fluctuations

At a general level, it is natural to expect that risks and rewards in the economy's production processes should vary over the course of economic fluctuations, and that asset returns should mirror this variation. However, the mechanism by which asset returns are linked to economic fluctuations is not yet well understood. The contribution of this project comes from developing empirically successful economic models of the links between asset returns and economic fluctuations. Such models are important because: 1) they will help discriminate between competing theories of business cycles; 2) they are one of the only ways of rigorously determining whether or not volatility in financial markets indicate speculative fads or the response of efficient markets to changes in fundamentals; and 3) successful economic models could improve portfolio allocation rules. The first part of this project extends a production-based asset pricing model, that is a model of the physical rates of return of production processes in the economy. The extension covers empirical tests of simultaneous variations in the returns on many different assets using several different techniques and cross- sectional data of asset prices; improvements in the description of technology; and the explicit study of time aggregation. The second part of the project involves the calculation of the variation in conditional moments of discount factors implied by variation in the conditional moments of asset returns. The results are used to determine whether or not the behavior of asset returns is due to "fads" or to rational movements in discount factors.

一般来说，人们很自然地预期，经济生产过程中的风险和回报应该随着经济波动的过程而变化，而资产回报应该反映这种变化。然而，资产回报与经济波动挂钩的机制还没有得到很好的理解。这个项目的贡献来自于开发了资产回报和经济波动之间的联系的经验上成功的经济模型。这类模型之所以重要，是因为：1)它们将有助于区分相互竞争的商业周期理论；2)它们是严格确定金融市场波动是否预示着投机热潮或有效市场对基本面变化的反应的唯一方法之一；3)成功的经济模型可能会改进投资组合配置规则。这个项目的第一部分扩展了一个基于生产的资产定价模型，即经济中生产过程的实际回报率的模型。这一扩展涵盖了使用几种不同的技术和资产价格的横截面数据对许多不同资产的回报同时变化进行的经验测试；对技术描述的改进；以及对时间聚合的明确研究。该项目的第二部分涉及计算资产收益的条件矩变化所隐含的贴现因数条件矩的变化。其结果被用来确定资产收益的行为是由于“时尚”还是由于贴现因素的理性变动。