PERMANENT AND TRANSITORY COMPONENTS OF GNP AND STOCK-PRICES

• 成果类型: Article
• 署名作者: COCHRANE, JH
• 署名单位: National Bureau of Economic Research
• 刊物名称: QUARTERLY JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0033-5533
• DOI: 10.2307/2118434
• 发表日期: 1994
• 页码: 241-265
• 关键词: unit-root tests; stochastic trends; dividend yields; time-series; output; STATES; fluctuations; returns; income; cycle

摘要

This paper uses two-variable autoregressions to characterize transitory components in GNP and stock prices. Shocks to GNP holding consumption constant are almost entirely transitory, and account for large fractions of the variance of GNP growth. If consumption does not change, consumers must think that any GNP change is transitory. The facts that the consumption/GNP ratio forecasts GNP growth and that consumption is nearly a random walk drive this result. An implication is that consumption provides a good estimate of the ''trend'' in GNP. Prices and dividends behave similarly: shocks to prices holding dividends constant are almost entirely transitory.