The Persistence of Shocks to Macroeconomic Time Series: Some Evidence From Economic Theory
宏观时间序列冲击的持续性：来自经济理论的若干证据
This paper presents new estimates of persistence of shocks to quarterly labor income, monthly Treasury bill yields, and annual real common stock dividends. The authors replace orthogonality conditions involving near unit root instruments with restrictions on innovation variances implied by a generalized version of the permanent income hypothesis, a term structure model, and constant discount rate efficient markets model. Conditional on these theories, they obtain precise…