基于不可观测宏观经济变量估计风险溢价

Estimation of Risk Premium Based on Unobserved Macro Economic Variables

宏观经济因素,特别是不可观测的宏观经济因素,如消费指数预期偏差和预期增长等是影响投资者期望收益的重要变量。文章在应用卡尔曼滤波方法估计消费指数预期偏差和消费指数预期增长的基础上,通过包含有可观测变量、不可观测变量宏观经济变量的APT模型,估算影响投资者期望收益各宏观经济因素的风险溢价。结果表明,消费指数预期的偏差和消费指数预期的增长这两个不可观测宏观经济因素对有价证券超额收益的贡献最显著。

Macroeconomic factors,especially the unobserved macroeconomic factors,for example the expected deviation and expected growth of the consumer price index,are the significant variables influencing the expected income for an investor.We estimate the expected deviation and the expected growth of the consumer price index by the Kalman Filter,then estimate the risk premiums for observed and unobserved macro variables by applying an APT model.The results show that the expected deviation and expected growth of the consumer price index contribute to the excess earnings significantly.