1998年9月

股票價格之模型誤設與投機泡沫： 一般化Kalman filter的分析
Model Misspecification and Speculative Bubbles: A Generalized Kalman Filter Analysis

研究論文 Research Article

林建甫, 陳禮潭, 李明煌
Chien-fu Jeff Lin, Lii-tarn Chen, Ming-huang Lee

361-397

本文研究投機泡沫是否存在於股票價格。其模型誤設及投機泡沫若存在，都是不可觀察的變數且 state-space 模型中傳遞方程與觀測方程中的干擾項爲同期相關。於是我們採用 Jazwinski (1970) 的一般化 Kalman filter 來估計。使用 Malkiel  (1979) 和 Pindyck (1984) 的變動風險貼水股價模型來設定誤設變數。在得到變數估計值後，我們沿續 Durlauf and Hooker  (1994) 及 Chen (1995) 來做正交檢定分析。結果是CRSP的資料，變動風險貼水模型具有良好的解釋，且無泡沫存在於股價中。但MSCI資料中，法國、德國、義大利之股價，無誤設的流量設定式未與訊息集合變數正交。故變動風險貼水的模型未提供好的解釋，泡沫的存在性也未得到明確的結論。

This paper examines whether bubbles or time-varying risk premiums affect stock prices. A model with speculative bubbles and misspecifications, factors unobserved in stock prices, is considered. The setting of a time varying risk premium proposed by Malkiel (1979) and Pindyck (1984) is applied to capture the possibility of misspecification. The errors in the measurement equation and transition equation in the state-space model are correlated. Thus, we employ the generalized Kalman filter developed by Jazwinski (1970) to estimate the parameters. After we get the estimates, we follow the orthogonality test discussed in Durlauf and Hooker (1994) and Chen (1995) to analyze the flow and stock constraints on different information sets. The results show that the time varying risk premium model provides a good explanation for the CRSP data set and there is no presence of speculative bubbles. The France, German, and Italy in MCSI data sets indicate that the time varying premium model does not provide a suitable explanation. No further conclusion can be drawn for whether or not speculative bubbles exist in these three countries.

模型誤設, 投機泡沫, 正交撿定, 變動風險貼水, 一般化, Kalman filter
Model misspecification, Speculative bubbles, Orthogonality test, Time varying risk premium, Generalized Kalman filter.,

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