| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w3464 |
| 来源ID | Working Paper 3464 |
| Stock Prices and Bond Yields: Can Their Comovements Be Explained in Terms of Present Value Models? | |
| Robert J. Shiller; Andrea E. Beltratti | |
| 发表日期 | 1990-10-01 |
| 出版年 | 1990 |
| 语种 | 英语 |
| 摘要 | Real stock prices seem to overreact to changes in long-term interest rates. That is, real stock prices drop when long-term interest rates rise (and rise when they fall) more than would be implied by a rational expectations present value model where expectations are based on a vector autoregression. This overreaction is not associated with any overreaction to changes in the short-run inflation rate. Over the last century real stock prices have shown little reaction to changes in inflation rates, and according to the model they should show little reaction. These conclusions were reached from an analysis of annual data in the united states 1871 to 1989 and the united Kingdom 1918 to 1989. |
| URL | https://www.nber.org/papers/w3464 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/560759 |
| 推荐引用方式 GB/T 7714 | Robert J. Shiller,Andrea E. Beltratti. Stock Prices and Bond Yields: Can Their Comovements Be Explained in Terms of Present Value Models?. 1990. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w3464.pdf（331KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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