开放经济下随机折现因子对经济周期与经济波动的解释能力

本文通过研究随机折现因子(SDF)与经济周期以及经济波动的关系,旨在探索金融市场与宏观经济的内在联系。我们构建了一个开放经济定价模型(OEAP model),将汇率、通货膨胀率、国内消费以及市场收益率纳入统一的框架内,探讨SDF对经济周期及经济波动的解释能力。基于模型的估计结果表明在开放经济的模型假设下SDF具有显著的反周期特点并且SDF的波动性方差可以作为衡量经济波动一个很好的指标。另外,模型的模拟结果表明,相对于封闭经济假设下的Epstein-Zin模型,OEAP模型对消费具有更好的拟合效果。这说明OEAP模型对SDF具有更准确的估计。

The Explanation Capability of Stochastic Discount Factors to Economic Cycles and Volatility under Open Economy

This paper aims to explore the connection between the financial markets and macro-economy by assessing the explanatory power of stochastic discount factors(SDF) to economic cycles and volatility.We establish an open-economy asset pricing(OEAP) model and put the real exchange rate,the inflation rate,the domestic consumption and the market return into a unified framework to explore the implications of SDF to economic cycles and volatility.Specifically,under OEAP model’s assumptions,we propose that SDF is significantly anticyclical and the variance of SDF can be a nice indicator of economic volatility.Otherwise,simulation result suggests that OEAP model has better fitness of consumption than Epstein-Zin’s model,which indicates that OEAP model can produce more accurate estimator of SDF.