Research in Macroeconomics and Asset Pricing

宏观经济与资产定价研究

• 批准号: 9709420
• 负责人: John Cochrane
• 金额: $ 20.02万
• 依托单位: National Bureau of Economic Research Inc
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 1997
• 资助国家: 美国
• 起止时间: 1997-07-01 至 2002-06-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9709420&HistoricalAwards=false
• 关键词: Research; Macroeconomics; Asset; Pricing

9709420 Cochrane This project consists of two parts: 1. Theoretical and empirical investigation of the fiscal theory of the price level. The fiscal theory states that the price level is determined by the ratio of the nominal value of total government (or "outside") debt to the real value of (net of interest) fiscal surpluses that will pay off the debt. This theory establishes a direct connection between fiscal events and the price level. The fiscal theory may help resolve a host of empirical embarrassments of monetary economics. These include exchange rates (another measure of the price level) that seem to have little to do with relative money stocks and a relation between monetary aggregates and the price level that is notoriously unstable. This project adds long-term debt to existing theoretical treatments; finds conditions when news of future deficits can lead to inflation today, and when it leads only to a decline in the price of long-term bonds; solves for the optimal maturity structure of government debt that achieves price level objectives; and provides the first rigorous empirical tests of fiscal theory. 2. "Good deal" asset pricing bounds. Pricing by arbitrage, in which one learns about the price of a given payoff from prices of "nearby" payoffs, is very attractive to many practical and economic applications of asset pricing theory including investment theory, corporate finance and even environmental economics (the rainforest as an option on a cure for cancer). Unfortunately, the absence of arbitrage tells us nothing about the price of a specific untraded financial instrument. This project develops a new method for calculating tight upper and lower bounds for the "fair values" of untraded financial instruments from the prices of related assets and a little information about the underlying economics. ??

9709420 Cochrane 该项目由两部分组成： 1. 价格水平财政理论的理论和实证研究。 财政理论指出，价格水平是由政府（或“外部”）债务总额的名义价值与偿还债务的财政盈余（扣除利息）实际价值的比率决定的。 该理论在财政事件与价格水平之间建立了直接联系。 财政理论可能有助于解决货币经济学的一系列实证困境。 其中包括似乎与相对货币存量关系不大的汇率（价格水平的另一种衡量标准），以及众所周知的不稳定的货币总量与价格水平之间的关系。 该项目在现有的理论治疗中增加了长期债务；找到未来赤字消息可能导致今天通胀的条件，以及仅导致长期债券价格下跌的条件；解决实现价格水平目标的政府债务的最佳期限结构；并首次对财政理论进行了严格的实证检验。 2.“好交易”资产定价界限。 套利定价，即人们从“附近”收益的价格中了解给定收益的价格，对于资产定价理论的许多实际和经济应用非常有吸引力，包括投资理论、公司金融甚至环境经济学（雨林作为治疗癌症的一种选择）。 不幸的是，套利的缺乏并不能告诉我们任何有关特定未交易金融工具的价格的信息。 该项目开发了一种新方法，根据相关资产的价格和一些有关基础经济的信息来计算未交易金融工具“公允价值”的严格上限和下限。 ??