| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5604 |
| DP5604 Marketwide Private Information in Stocks: Forecasting Currency Returns | |
| Rui Albuquerque; Luis Marques; Eva de Francisco | |
| 发表日期 | 2006-03-29 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | Aggregate stock prices, relative to virtually any indicator of fundamental value, soared to unprecedented levels in the 1990s. Even today, after the market declines since 2000, they remain well above historical norms. Why? We consider one particular explanation: a fall in macroeconomic risk, or the volatility of the aggregate economy. Empirically, we find a strong correlation between low frequency movements in macroeconomic volatility and low frequency movements in the stock market. To model this phenomenon, we estimate a two-state regime switching model for the volatility and mean of consumption growth, and find evidence of a shift to substantially lower consumption volatility at the beginning of the 1990s. We then use these estimates from post-war data to calibrate a rational asset pricing model with regime switches in both the mean and standard deviation of consumption growth. Plausible parameterizations of the model are found to account for a significant portion of the run-up in asset valuation ratios observed in the late 1990s. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Equity premium Macroeconomic volatility Stock market boom Regime shifts |
| URL | https://cepr.org/publications/dp5604 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534452 |
| 推荐引用方式 GB/T 7714 | Rui Albuquerque,Luis Marques,Eva de Francisco. DP5604 Marketwide Private Information in Stocks: Forecasting Currency Returns. 2006. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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