Macroeconomic Risks and Asset Pricing: Evidence from a Dynamic Stochastic General Equilibrium Model

• 成果类型: Article
• 署名作者: Li, Erica X. N.; Li, Haitao; Wang, Shujing; Yu, Cindy
• 署名单位: Tongji University; Iowa State University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2017.2999
• 发表日期: 2019
• 页码: 3585-3604
• 关键词: DSGE model; Bayesian MCMC estimation; stock returns; neutral technology shock; investment-specific technology shock; monetary policy shock; risk shock

摘要

We study the relation between macroeconomic fundamentals and asset pricing through the lens of a dynamic stochastic general equilibrium (DSGE) model. We provide full-information Bayesian estimation of the DSGE model using macroeconomic variables and extract the time series of four latent fundamental shocks of the model: neutral technology shock, investment-specific technological shock, monetary policy shock, and risk shock. Asset pricing tests show that our model-implied four-factor model can explain a number of prominent cross-sectional return spreads: size, book-to-market, investment, earnings, and long-term reversal. The investment-specific technological shock and risk shock play the most important role in explaining those return spreads.