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本文通过研究随机折现因子(SDF)与经济周期以及经济波动的关系,旨在探索金融市场与宏观经济的内在联系。我们构建了一个开放经济定价模型(OEAP model),将汇率、通货膨胀率、国内消费以及市场收益率纳入统一的框架内,探讨SDF对经济周期及经济波动的解释能力。基于模型的估计结果表明在开放经济的模型假设下SDF具有显著的反周期特点并且SDF的波动性方差可以作为衡量经济波动一个很好的指标。另外,模型的模拟结果表明,相对于封闭经济假设下的Epstein-Zin模型,OEAP模型对消费具有更好的拟合效果。这说明OEAP模型对SDF具有更准确的估计。
By studying the relationship between stochastic discount factor (SDF) and economic cycles and economic fluctuations, this paper aims to explore the inherent relationship between financial markets and macroeconomy. We have constructed an OEAP model that incorporates exchange rates, inflation rates, domestic consumption and market rate of return into a unified framework to explore SDF’s ability to explain economic cycles and economic fluctuations. Model-based estimates show that SDF has significant counter-cyclicality under the open economy model assumptions and volatility variance of SDF can be used as a good measure of economic volatility. In addition, the simulation results of the model show that the OEAP model has a better fitting effect on consumption than the Epstein-Zin model under the closed economy assumption. This shows that the OEAP model has a more accurate estimate of SDF.