论收入和股票价格的长期属性:"黄金比率 "的稳定性

IF 1.3 Q3 ECONOMICS
James Dean, Joshua C. Hall
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引用次数: 0

摘要

目的预测总收入和股票价格的变化是经济学家研究议程中的一项挑战。为了检验消费收入比和股息价格比的稳定性,作者按照 Cochrane(1994 年)的思路,使用每个比率的滞后期作为 VAR 的外生变量,运行了一个双变量、双滞后的缩减形式 VAR。此外,作者还对收入和价格的 AR(4)模型进行了估计。在 VAR 模型中,消费收入比能显著预测美国的未来收入,而且总收入比消费更容易预测。股息价格比对未来价格增长的预测作用不大。原创性/价值消费收入比和股息价格比仍然是了解收入和股票价格未来走势的关键。在美国,消费收入比能显著预测未来收入,而且在 VAR 模型中,总收入比消费更容易预测。然而,股息-价格比率并不能显著预测未来的价格增长,这与 20 世纪 90 年代的研究有所不同,尽管股票市场日益复杂。消费和股息冲击对收入和价格具有持久影响,似乎是收入和价格短期和长期差异的重要驱动因素。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
On the long-run properties of income and stock prices: the stability of the “golden ratios”

Purpose

The challenge of predicting changes in aggregate income and stock prices is one that has occupied the research agendas of economists. This paper aims to use the consumption–income ratio and the dividend–price ratio to predict future income and stock prices.

Design/methodology/approach

To examine the stability of the consumption–income ratio and the dividend–price ratio, the authors run a two-variable, two-lag reduced-form VAR in the vein of Cochrane (1994), using a lag of each respective ratio as exogenous to the VAR. Additionally, the authors estimate an AR(4) model for income and prices.

Findings

The consumption–income ratio and the dividend–price ratio remain key to understanding future movements in income and stock prices. The consumption–income ratio significantly predicts future income in the USA, and aggregate income is easier to predict than consumption in the VAR model. The dividend–price ratio does not significantly predict future price growth. Consumption and dividend shocks have lasting impacts on income and prices.

Originality/value

The consumption–income ratio and the dividend–price ratio are still key to understanding future movements in income and stock prices. The consumption–income ratio significantly predicts future income in the USA, and aggregate income is easier to predict than consumption in the VAR model. However, the dividend–price ratio does not significantly predict future price growth, a change from previous research from the 1990s, despite the increasing complexity of stock markets. Consumption and dividend shocks have lasting impacts on income and prices and appear to be significant drivers in both the short- and long-run variance in income and prices.

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来源期刊
CiteScore
2.80
自引率
8.30%
发文量
13
期刊介绍: The Journal of Financial Economic Policy publishes high quality peer reviewed research on financial economic policy issues. The journal is devoted to the advancement of the understanding of the entire spectrum of financial policy and control issues and their interactions to economic phenomena. Economic and financial phenomena involve complex trade-offs and linkages between various types of risk factors and variables of interest to policy makers and market participants alike. Market participants such as economic policy makers, regulators, banking and competition supervisors, corporations and financial institutions, require timely and robust answers to the contemporary and emerging policy questions. In turn, such answers require thorough input by the academics, policy makers and practitioners alike. The Journal of Financial Economic Policy provides the forum to satisfy this need. The journal publishes and invites concise papers to enable a prompt response to current and emerging policy affairs.
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