耐用品长期风险模型的广义矩估计和可测性研究

Generalized Method of Moment and Predictive Ability of Long-Run Risk Model with Durable Consumption

基于我国2002年到2012年的季度数据,本文使用广义矩估计方法检验了耐用品长期风险模型。模型参数依赖的状态变量不可观测,通过推导把状态变量表示成可以观测的指标价格红利比率,从而可以对模型参数进行估计。研究表明,投资者的风险厌恶系数和跨期替代弹性相互分离,模型能够有效刻画投资者的消费和投资行为特征。此外,模型预测成分对于红利增长率、市场收益率和股权溢价有较强的预测能力,而对消费增长率的预测能力有限。

This paper uses the generalized method of moment to esnmate rne tonS-Lull ~l durable consumption, based on our country＇s quarterly data from 2002 to 2012. The state variable which the model parameters depend on is unobservable, so the parameters can be estimated by using the price-dividend ratio to indicate the state variable. The results show that the risk aversion decouples from the elasticity of inter-temporal substitution, and the model can effectively describe the behavioral characteristics of investor＇s consumption and investment. In addition, the predictive factor has strong predictive ability for dividend growth rate, market yields, and equity premium, but limited predictive ability for consumption growth rate.