Cointegration and Tests of Present Value Models-英文文献.pdf

NBER WORKING PAPER SERIES COINTEGRATION AND TESTS OF PRESENT VALUE MOOELS John Y. Campbell Robert J. Shiller Working Paper No. 1885 NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138 April 1986 We are grateful to Don Andrews, Gregory Chow, Rob Engle, Dick Meese and ken West, and to participants in seminars at the University of California Berkeley, Columbia University, the Federal Reserve Bank of Philadelphia, the National Bureau of Economic Research, Princeton University and Rice University, for helpful comments on an earlier version of this paper. We are responsible for any remaining errors. The research reported here is part of the NBERs research program in Financial Markets and Monetary Economics. Any opinions expressed are those of the authors and not those of the National Bureau of Economic Research. NBER k4orking Paper #1885 April 1986 Cointegration and Tests of Present Value Models ABSTRACT In a model where a variable is proportional to the present value, with constant discount rate, of expected future values of a variable the spread St - will be stationary for some 0 whether or not must be differenced to induce stationarity. Thus, and are cointe- grated. The model implies that St is proportional to the optimal forecast of and also to the optimal forecast of 5*, t