麻省理工行为金融学讲义 127hand1

Statistics that model parameters were chosen to replicate.

Parameter

Variable

Value

Assumed:

Utility curvature

Correlation between ∆d and ∆c

Implied:

Steady-state surplus consumption ratio Maximum surplus consumption ratio

g σ

r f

φ

γ

σω

ρδ

s

S max

P ARAMETER C HOICES

TABLE 1: 1.891.500.940.872.0011.20.20.890.0570.094

Mean consumption growth (%)

Standard deviation of consumption growth (%)

Log risk-free rate (%)Persistence coefficient

Standard deviation of dividend growth (%)

Subjective discount factor

Annualized values, e.g., 12g,

12 σ, 12r f ,φ12, and δ12, since the model is simulated at a monthly frequency.

Statistic

Postwar Sample

Long Sample

Means and Standard Deviations of Simulated and Historical Data

TABLE 2: 1.723.322.920.223.90Dividend Claim

Consumption Claim

18.021.10.27

1.891.22 0.094

0.430.33 0.506.6915.724.70.26

1.891.22 0.0940.43 0.506.6415.218.30.27

6.5220.018.70.29

E(∆c)σ(∆c)E(r - r f ) / σ(r - r f )E(r - r f )σ(r - r f )E(R - R f ) / σ(R - R f )

exp [E(p - d)]σ(p - d)

Note - The model is simulated at a monthly frequency; statistics are calculated from artificial time-averaged data at an annual frequency. All returns are annual percentages.

E(r f )

510152025

3035189

190191192193194195196197198199P /D

Fig. 4. - Historical price/dividend ratio and model predictions based on the history of consumption.