Asset Markets and the Macroeconomy

资产市场和宏观经济

• 批准号: 9409631
• 负责人: John Campbell
• 金额: $ 21.04万
• 依托单位: National Bureau of Economic Research Inc
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 1994
• 资助国家: 美国
• 起止时间: 1994-10-15 至 1997-09-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9409631&HistoricalAwards=false
• 关键词: Asset; Markets; Macroeconomy

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.

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与宏观经济之间的联系。 该项目由三个主要组成部分组成。 第一个将无条件的平均资产回报的模式与资产回报的协方差有关，并提供有关当前和未来股票收益和劳动收入的新闻。 该项目的第二部分重点是有条件平均资产返回的行为。 众所周知，当经济进入衰退时，股价往往会下跌。 该项目的这一部分将调查整个商业周期中投资者一部分的习惯形成和风险规避行为。 该项目的第三个组成部分探讨了宏观经济学的新方向，包括家庭生产技术在实际商业周期模型中的作用，对货币政策的外源性冲击的性质以及使用增长理论来估计产出趋势的成分。 这项研究很重要，因为它将对股票市场与商业周期之间的相互作用有更深入的了解。