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  

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

作　　者：吴贾[1] 徐舒[2] 袁景安[1] 

机构地区：[1]西南财经大学经济研究与管理研究院 [2]西南财经大学经济学院

出　　处：《投资研究》2012年第3期35-51,共17页Review of Investment Studies

基　　金：西南财经大学"211工程"三期建设项目资助;西南财经大学"211工程"青年教师成长项目资助(项目号:211QN2011002)

摘　　要：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。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.

关 键 词：开放经济 随机折现因子 经济周期 消费 

分 类 号：F224[经济管理—国民经济] F113.7