UK stock price effects of permanent and transitory shocks
本文用结构性协整向量自回归模型研究英国股价与股息的关系，发现永久性股息冲击也能预测股价，挑战了仅暂时性冲击导致可预测性的传统观点。
This paper examines the dynamic relationship between stock prices and dividends using a structural cointegrated vector autoregression. The approach adopted fully identifies the system without imposing arbitrary restrictions and decomposes innovations into permanent and transitory components. Prior research indicates that transitory price shocks could lead to stock price predictability. Our key new empirical finding is that permanent dividend shocks could also lead to aggregate stock price predictability in the UK.