资源描述：
《Macroeconomic Risks and Asset宏观经济风险与资产》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。
1、MacroeconomicRisksandAssetPricing:EvidencefromaDynamicStochasticGeneralEquilibriumModelEricaX.N.LiyHaitaoLizShujingWang,§andCindyYu{October2017AbstractWestudytherelationbetweenmacroeconomicfundamentalsandassetpricingthroughthelensofadynamicstochasticgeneralequilibrium(DSGE)m
2、odel.Weprovidefull-informationBayesianestimationoftheDSGEmodelusingmacroeconomicvariablesandextractthetime-seriesoffourlatentfundamentalshocksofthemodel:neutraltechnologyshock,investment-specifictechnologicalshock,monetarypolicyshock,andriskshock.Assetpricingtestsshowthatourmo
3、del-impliedfour-factormodelcanexplainanumberofprominentcross-sectionalreturnspreads:size,book-to-market,investment,earnings,andlong-termreversal.Theinvestment-specifictechnologicalshockandriskshockplaythemostimportantroleinex-plainingthosereturnspreads.Keywords:DSGEmodel,Bayes
4、ianMCMCestimation,stockreturns,neutraltechnologyshock,investment-specifictechnologyshock,monetarypolicyshock,riskshockJELClassification:C11,C13,E44WewouldliketothankNengWang(thedepartmenteditor),theassociateeditor,andtwoanonymousrefereesforcommentsthatgreatlyimprovedthepaper.W
5、ealsobenefitfromdiscussionswithGeertBekaert,LawrenceChristiano,SimonGilchrist,RobertHodrick,andZhongzhiSongandcommentsfromthoseattendingpresentationsatCICF(Chengdu),SIF(Lijiang),CAPR(Oslo),ShanghaiJiaoTongUniversity,andCheungKongGraduateSchoolofBusiness.SpecialthankstoHongLanf
6、orhelpinguswithDynare.LiandLigratefullyacknowledgethesupportfromCheungKongGraduateSchoolofBusiness.Allerrorsareourown.yDepartmentofFinance,CheungKongGraduateSchoolofBusiness,Beijing,China,100738;Tel:(86)1085188888ext.3075;E-mail:xnli@ckgsb.edu.cn.zDepartmentofFinance,CheungKo
7、ngGraduateSchoolofBusiness,Beijing,China,100738;Tel:(86)1085188888ext.3083;E-mail:htli@ckgsb.edu.cn.§DepartmentofEconomicsandFinance,SchoolofEconomicsandManagement,TongjiUniversity,Shanghai,China200092;Tel:(86)2165982274;E-mail:shujingwang@connect.ust.hk.{DepartmentofStatisti
8、cs,IowaStateUniversity,Ames,IA50011;Tel:15152946885;E-mail:cindyyu@i
