Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model
提出一个允许系统矩阵随时间变化的通用状态空间模型框架，并用它研究美国自1880年以来价格股息比、预期股票收益和预期股息增长之间的时变关系。发现价格股息比的长期均衡值显著上升，伴随长期预期收益率下降，主要归因于自然利率的降低。
<b><i>Abstract–</i>In this article, we develop a general framework to analyze state space models with time-varying system matrices, where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying matrices. We use this method to study the time-varying relationship between the price dividend ratio, expected stock returns and expected dividend growth in the United States since 1880. We find a significant increase in the long-run equilibrium value of the price dividend ratio over time, associated with a fall in the long-run expected rate of return on stocks. The latter can be attributed mainly to a decrease in the natural rate of interest, as the long-run risk premium has only slightly fallen.</b>