Asset Pricing in the Frequency Domain: Theory and Empirics
研究了在频域中资产定价模型的定价核冲击响应，发现消费增长中Epstein-Zin偏好的定价核权重集中在低频，而内部习惯形成模型则偏向高频；实证表明股票市场权重主要在低频，债券市场投资者对低频利率上升和商业周期频率利率下降持负面态度。
In many a¢ne asset pricing models, the innovation to the pricing kernel is a function of innovations to current and expected future values of an economic state variable, often consumption growth, aggregate market returns, or short-term interest rates. The impulse response of the priced state variable to various shocks has a frequency (Fourier) decomposition, and we show that the price of risk for a given shock can be represented as a weighted integral over that spectral decomposition. In terms of consumption growth, Epstein—Zin preferences imply that the weight of the pricing kernel lies almost entirely at low frequencies, while internal habit-formation models imply that the weight is shifted to high frequencies. We estimate spectral weighting functions for the equity market semi-parametrically and find that they place most of their weight at low frequencies, consistent with Epstein—Zin preferences. For Treasuries, we find that investors view increases in interest rates at low frequencies and decreases at business-cycle frequencies negatively.