Research Projects in Macroeconomics and Asset Pricing

这个提议中有五分之四的主要问题是：“宏观经济风险的潜在来源是什么？”资产回报是宏观经济事件的敏感指标，因此可以用来帮助发现重大风险。该项目分为四个部分。1)调查企业如何改变生产计划以考虑风险。有了这些信息，我们就可以用企业行为来理解股票收益和经济波动之间的联系。例如，如果石油相关股票的市场价格很高，公司应该通过投资于容易转换为其他燃料的机械来“确保”油价冲击。2)线性因子模型的检验。将开发一套简单的技术工具包，用于评估标准资产定价模型，特别侧重于捕捉宏观经济风险来源的模型。3)历史资产价格。将调查几家英国公司自1700年以来的股票市场数据，重点研究在几个世纪的战争、政府融资紧缩和实际波动中，这些公司的回报发生了什么变化。4)实体经济周期和资产价格。迄今为止，商业周期的标准模型对股价的预测都与实际情况相差甚远。这些模型将被修改，以纳入有趣和现实的股票价格行为。5)一个不相关的项目：时间一致性健康保险。私人医疗保险合同的结构是否可以使没有人被拒绝投保，或者没有人被“锁定工作”？答案是肯定的。本研究描述并讨论了此类合同的实际实施。＊＊＊

9319807 Cochrane The large question that drives four fifths of this proposal is, "what are the underlying sources of macroeconomic risks?" Asset returns are sensitive indicators of macroeconomic events, and so are used to help uncover the important risks. There are four segments to the project. 1) An investigation of how firms alter their production plans to take account of risk. With this information, we can use firm behavior to understand the link between stock returns and economic fluctuations. For example, if market prices of oil- related stocks are high, firms ought to "insure" against oil price shocks by investing in machinery that is easily convertible to other fuels. 2) Tests of linear factor models. A toolkit of simple techniques will be developed for assessing standard asset pricing models, with a special focus on models that capture macroeconomic sources of risk. 3) Historical asset prices. Stock market data will be investigated back to 1700 on a few British companies, focusing on what happened to their returns through centuries of wars, government financing crunches and real fluctuations. 4) Real business cycles and asset prices. To date, standard models of business cycles generate predictions for stock prices that are just way off the mark. These models will be modified to incorporate interesting and realistic stock price behavior. 5) An unrelated project: Time-consistent health insurance. Can private health insurance contracts be structured so that no one is denied coverage, or is "job-locked". The answer is "yes." and this research describes and discusses practical implementation of such contracts. ***