Research in Macroeconomics and Asset Pricing

9709420 Cochrane本项目由两部分组成：价格水平财政理论的理论与实证研究。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将偿还债务的财政盈余（扣除利息）的实际价值之比决定的。这一理论建立了财政事件与价格水平之间的直接联系。财政理论可能有助于解决货币经济学的许多经验上的尴尬。这些因素包括汇率（衡量价格水平的另一项指标），它似乎与相对货币存量关系不大，以及货币总量与价格水平之间众所周知的不稳定关系。该项目为现有的理论治疗增加了长期债务；找出未来赤字的消息在什么情况下会导致今天的通货膨胀，以及在什么情况下只会导致长期债券价格下跌；求解政府债务达到价格水平目标的最优期限结构；并首次对财政理论进行了严格的实证检验。2. “好交易”的资产定价界限。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，这对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（将雨林作为治疗癌症的一种选择）。不幸的是，没有套利并不能告诉我们特定的未交易金融工具的价格。本项目开发了一种新方法，用于从相关资产的价格和有关基础经济学的少量信息中计算未交易金融工具的“公允价值”的严格上限和下限。?？

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. ??