Research in Macroeconomics and Asset Pricing

9709420科克伦本项目由两部分组成：1。物价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。这一理论在财政事件和价格水平之间建立了直接联系。财政理论可能有助于解决货币经济学中的许多经验尴尬。其中包括似乎与相对货币存量关系不大的汇率(价格水平的另一种衡量标准)，以及货币总量与出了名的不稳定价格水平之间的关系。该项目将长期债务添加到现有的理论处理方法中；找到了未来赤字的消息可能导致当前通胀的条件，以及它只会导致长期债券价格下跌的条件；解决了实现价格水平目标的政府债务的最优期限结构；并提供了财政理论的第一次严格的实证测试。2.“好交易”的资产定价界限。通过套利定价，即人们从“附近”收益的价格中了解给定收益的价格，对于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、公司财务甚至环境经济学(热带雨林作为治疗癌症的选择)。不幸的是，套利的缺失并不能告诉我们一种特定的未交易金融工具的价格。这个项目开发了一种新的方法，根据相关资产的价格和一些有关基本经济的信息，计算未交易金融工具的“公允价值”的严格上下限。?？

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. ??