Empirical and Theoretical Linkages Between the Real and Financial Economy

该项目旨在建立对真实的经济和资产市场之间的经验和理论联系的理解。该项目考虑了与总消费-财富联系有关的一些具体问题，并侧重于宏观经济指标对于区分股票价格的永久性和暂时性波动以及记录股票收益的条件均值与其条件波动性之间的关系的重要性。本研究还探讨了关键资产定价事实与完整的商业周期模型相协调的方法，该模型保留了模型对真实的变量影响的现实性。该方法是经验和理论。实证方法主要依赖于单位根计量经济学技术，以确定短期和长期之间的关系，各种措施的真实的活动和资产市场，使用美国的总时间序列数据。该理论方法建立在金融和宏观经济学的最新见解基础上，研究经济的动态一般均衡模型。理解消费与财富之间的关系，对于货币政策和宏观经济分析的明智实施，以及经济中真实的部门和金融部门之间的关系的理论建模，都是至关重要的。然而，到目前为止，对这些关系的正式经验分析还很少。此外，如果我们不了解这种行为背后的宏观经济风险的来源，我们就不能指望了解资产回报的波动性和可预测性。这一研究议程的实证和理论调查不仅有可能帮助扩大关于消费、生产、投资和资产价格在理论上必须如何联系的知识，而且还有助于寻找最终必须支配资产价格行为的系统性风险因素的宏观经济决定因素。

The project aims to build understanding of the empirical and theoretical links between the real economy and asset markets. The project considers a number of specific questions related to the aggregate consumption-wealth link, and focuses on the importance of macroeconomic indicators for separating permanent from transitory movements in stock prices and for documenting the extent to which the conditional mean of stock returns is related to its conditional volatility. The research also investigates ways in which key asset pricing facts can be reconciled with a complete business cycle model that preserves the realism of the model's implications for real variables. The methodology is both empirical and theoretical. The empirical methodology relies primarily on unit root econometric techniques to identify the short-run and long-run relations between various measures of real activity and asset markets, using U.S. aggregate time-series data. The theoretical methodology builds off of recent insights in both finance and macroeconomics to study a dynamic, general equilibrium model of the economy. Understanding how consumption is related to wealth is fundamental for the informed conduct of monetary policy and macroeconomic analysis generally, and for modeling, theoretically, how the real and financial sectors of the economy are related. As yet, however, there has been little formal empirical analysis of these relations. Moreover, we cannot hope to understand the volatility and predictability of asset returns without understanding the sources of macroeconomic risk that underlie this behavior. The empirical and theoretical investigations of this research agenda have the potential not only to help expand the state of knowledge about how consumption, production, investment and asset prices must be related theoretically, but also to facilitate the search for macroeconomic determinants of systematic risk factors that must ultimately govern the behavior of asset prices.