Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets
使用滞后超额收益、股息收益率和远期溢价作为工具变量，刻画主要股票和外汇市场超额收益中的可预测成分，并通过向量自回归和潜变量模型检验动态资产定价理论的约束。
ABSTRACT The paper first characterizes the predictable components in excess rates of returns on major equity and foreign exchange markets using lagged excess returns, dividend yields, and forward premiums as instruments. Vector autoregressions (VARs) demonstrate one‐step‐ahead predictability and facilitate calculations of implied long‐horizon statistics, such as variance ratios. Estimation of latent variable models then subjects the VARs to constraints derived from dynamic asset pricing theories. Examination of volatility bounds on intertemporal marginal rates of substitution provides summary statistics that quantify the challenge facing dynamic asset pricing models.