Abstract
Application of some advances in econometrics (in the theory of cointegrated vector autoregressive models) enables us to deal effectively with two problems in rational-expectations, present-valu e models: nonstationarity of time series and incomplete data on infor mation of market participants. With U.S. data, the authors find some relatively encouraging new results for the rational-expectations theo ry of the term structure and some puzzling results for the present-va lue model of stock prices. Copyright 1987 by University of Chicago Press.
Keywords
EconomicsCurrencyYield curveInterest rateFinancial economicsMonetary economics
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Publication Info
- Year
- 1987
- Type
- article
- Volume
- 95
- Issue
- 5
- Pages
- 1062-1088
- Citations
- 2137
- Access
- Closed
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Cite This
John Y. Campbell,
Robert J. Shiller
(1987).
Cointegration and Tests of Present Value Models.
Journal of Political Economy
, 95
(5)
, 1062-1088.
https://doi.org/10.1086/261502
Identifiers
- DOI
- 10.1086/261502