Empirical and Theoretical Linkages Between the Real and Financial Economy

该项目旨在建立对实体经济和资产市场之间的经验和理论联系的理解。该项目审议了与总消费-财富联系有关的若干具体问题，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回报的条件平均值与其条件波动性的关系程度的重要性。该研究还调查了如何将关键的资产定价事实与一个完整的商业周期模型相协调，该模型保留了模型对实际变量影响的现实性。这种方法既是经验的，也是理论的。经验方法主要依靠单位根计量经济学技术，使用美国综合时间序列数据来确定各种实际活动指标和资产市场之间的短期和长期关系。理论方法论建立在金融和宏观经济学最新见解的基础上，以研究动态的、一般均衡的经济模型。了解消费与财富之间的关系，对于在总体上明智地实施货币政策和进行宏观经济分析，以及从理论上模拟实体经济和金融部门之间的关系是至关重要的。然而，到目前为止，对这些关系的正式实证分析还很少。此外，在不了解这种行为背后的宏观经济风险来源的情况下，我们不能指望理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状态，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.