The Persistence of Shocks to Macroeconomic Time Series: Some Evidence From Economic Theory
利用永久收入假说、期限结构模型和有效市场模型，估计了劳动收入、国债收益率和股票红利冲击的持续性，发现冲击比趋势平稳模型更持久，但比单位根模型弱。
This article presents new estimates of persistence of shocks to quarterly labor income, monthly treasury-bill yields, and annual real common-stock dividends. We replace orthogonality conditions involving near-unit-root instruments with restrictions on innovation variances implied by a generalized version of the permanent income hypothesis, a term-structure model, and constant-discount-rate efficient-markets model. Conditional on these theories, we obtain precise estimates of persistence without imposing arbitrary restrictions on the magnitude of the largest root. Shocks are more persistent than indicated by unrestricted trend-stationary models but less persistent than implied by unit-root models.