全球智库信息集成服务系统(G2TT): DP14107 Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model

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来源类型	Discussion paper
规范类型	论文
来源ID	DP14107
	DP14107 Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model
	Davide Delle Monache; Ivan Petrella; Fabrizio Venditti
发表日期	2019-11-07
出版年	2019
语种	英语
摘要	In this paper we develop a general framework to analyze state space models with time-varying system matrices, where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying matrices. We use this method to study the time-varying relationship between the price dividend ratio, expected stock returns and expected dividend growth in the US since 1880. We find a significant increase in the long-run equilibrium value of the price dividend ratio over time, associated with a fall in the long-run expected rate of return on stocks. The latter can be attributed mainly to a decrease in the natural rate of interest, as the long-run risk premium has only slightly fallen.
主题	Financial Economics ; Monetary Economics and Fluctuations
关键词	State space models Time-varying parameters Score-driven models Equity premium Present-value models
URL	https://cepr.org/publications/dp14107
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/542994
推荐引用方式 GB/T 7714	Davide Delle Monache,Ivan Petrella,Fabrizio Venditti. DP14107 Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model. 2019.