Asset Markets and the Macroeconomy

该项目的目的是分析资产价格的行为，经济波动的性质，以及资产市场和宏观经济之间的联系。 该项目由三个主要部分组成。 第一个模型将无条件平均资产收益率与资产收益率的协方差以及当前和未来的股票收益率和劳动收入联系起来。 本项目的第二部分着重于条件平均资产收益的行为。 众所周知，当经济进入衰退期时，股票价格往往会下跌。 本部分将调查投资者在商业周期中的习惯形成和风险规避行为。 该项目的第三部分探讨宏观经济学的新方向，包括国内生产技术在真实的商业周期模型中的作用，货币政策的外生冲击的性质，以及使用增长理论来估计产出的趋势成分。 这项研究很重要，因为它将提供对股票市场和商业周期之间相互作用的更深入理解。

The purpose of this project is analyze the behavior of asset prices, the nature of economic fluctuations, and the links between asset markets and the macroeconomy. The project consists of three major components. The first relates the pattern of unconditional mean asset returns to the covariances of asset returns with news about current and future stock returns and labor income. The second part of the project focuses on the behavior of conditional mean asset returns. It is well known that stock prices tend to fall when the economy enters a recession. This part of the project will investigate habit formation and risk aversion behavior on part of investors over the business cycle. The third component of the project explores new directions in macroeconomics including the role of home production technology in real business cycle models, the nature of exogenous shocks to monetary policy, and the use of growth theory to in estimating trend components of output. This research is important because it will provide a deeper understanding of the interaction between the stock market and the business cycle.