STOCK-PRICES AND BOND YIELDS - CAN THEIR COMOVEMENTS BE EXPLAINED IN TERMS OF PRESENT VALUE MODELS
成果类型：
Article
署名作者：
SHILLER, RJ; BELTRATTI, AE
署名单位：
University of Turin
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/0304-3932(92)90042-Z
发表日期：
1992
页码：
25-46
关键词：
摘要：
Real stock prices do not show the relation to long-term interest rates that a simple rational expectations present value model would imply. Real stock prices drop when long-term interest rates rise (and rise when they fall) more than would be implied by this vector autoregression model. In contrast, over the last century changes in real stock prices have shown little correlation with changes in inflation rates, and according to the present value model they should show little correlation. These conclusions were reached from an analysis of annual data in the United States, 1871-1989, and the United Kingdom, 1918-1989.
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