Explaining Asset Price Movements: An Unobserved Components Approach

这个有趣而重要的项目涉及对 长期资产价格的变动。 许多经济学家和 金融分析师试图解释价格的变动， 股票市场 为了做到这一点，他们引入了一个概念， 有效市场，这是一个市场的供应和需求力量 不会受到任何抑制，并且很快就能达到平衡。 然而，很明显，股市似乎经常波动 没有任何明显的外部刺激， 即使在被观察到之后，也往往是非常困难的。 预测是 但也更加困难。 股票价格有一些共同的重要特征 与其他宏观经济变量，如长期债券收益率， 汇率和私人消费支出水平。 这些变量在宏观经济理论和政策中起着关键作用， 他们受到市场参与者 对未来的期望。 因此，解释他们的行为， 重要. 然而，它们显示的运动不是由 经济中的其他事件。 该项目的主要目标是 来解释为什么长期资产价格会如此波动。 该项目包括两个主要部分：1）开发一个 资产价格水平以及预期资产价格水平 回报可以解释，和2）推导的措施， 资产价格的可能决定因素的经济重要性。 从技术上讲，坎贝尔教授使用了一个分析框架， 不可观察的组件，其中整体的不可观察状态 系统根据过渡方程演化，观察到的 数据被认为是底层数据的离散实现， 连续过渡过程。 这项研究的一个重要方面 是坎贝尔教授比较了未观察到的 组件分析与其他标准技术，如 向量自回归分析和一般均衡模型。 他 还扩展了框架，以包括连续时间模型。

This interesting and important project concerns the analysis of the movements of prices of long-term assets. Many economists and other financial analysts have tried to explain the movements of prices in the stock market. To do this they have introduced the concept of an efficient market, that is a market where the supply and demand forces are not inhibited in any way and which equilibrates very quickly. However, it is clear that the stock market often seems to fluctuate without any obvious external stimulus, and explaining price movements is often very difficult even after they are observed. Prediction is yet more difficult. Stock prices share some important characteristics with other macroeconomic variables such as the long-term bond yield, the exchange rate, and the level of private consumption expenditure. These variables play a key role in macroeconomic theory and policy, and they are greatly affected by the market participants's expectations about the future. Thus explaining their behavior is important. However, they display movements which are not driven by events elsewhere in the economy. The major goal of this project is to explain why long-term asset prices move as they do. The project consists of two main sections: 1) the development of a framework in which asset price levels, as well as expected asset returns can be explained, and 2) derivation of measures of the economic importance of the possible determinants of asset prices. Technically, Professor Campbell uses an analytical framework known as unobservable components, in which the unobservable state of the entire system evolves according to a transition equation, and the observed data are considered to be discrete realizations of the underlying continuous transition process. An important aspect of this research is that Professor Campbell compares the results of the unobserved components analysis with those of other standard techniques, such as Vector Autoregression analysis and general equilibrium models. He also extends the framework to include continuous time models.