:2007-10-21:(1978-),,,,:(,310058):,,2020208090,:,,,:;;:F29313:A:1004-292X(2008)01-0105-04,,,()(),,,,,,,,(2005)(),pttp3t+1(t+1),,rt(p3t+1-pt),(),,it,:it=rtpt+p3t+1-pt(1+it)pt(1):pt=rt+p3t+11+it(2)(2)(),(t+1)p3t+1=r+p3t+21+i;,ri()(2)p3t+1,pt=r1+i+r(1+i)2+p3t+2(1+i)2,,pt:pt=r1+i+r(1+i)2+r(1+i)3++p3t+n(1+i)n(3)n,,pt=ri,,()(),:pt=ri+a(1+i)t(4),a,,a(1+i)t,(4),,,a(a0)(,,)(a0),,,,,,a501LeRoyPorter(1981)Shiller(1979,1981),,P,P3,var(pt)var(pt3),,,PP3:pt3=pt+et,et,ptet,:var(pt3)=var(pt)+var(et),,Shiller(1981)1871-1979,,:,,,,,,Levin(1997),,,,:,,;,,,,,(2006),,,,,,((4)),,(),,,:bi=(pi-ji)/ji(5),bi,pi,ji,1.,,,,,,:,,,;,,,:V=AR[1-1/(1+R)n]+L(1+R)-N(6),A;R;L;N,N,V=A/R,:V=rNi=1At(1+R)-t+L(1+R)-N(7),Att;R;L;NAt,(),,(CAPM),:()=+:E(j)=j+j(E(m)-j)(8),E(j)(),j,E(m),j,,2.RamseyRamsey,,,,,;,,Ramsey:Ntn,N0=1;,;,;Xt=xten:Nt=ent,,Yt=f(Kt,Nt)=ct+dkt/dt,,:f(kt)=ct+dkt/dt+nkt(9):f(kt)=+n(10)(10),,n60120081;,f(kt),,:j=f(kt)=+n(11),,,,,3.1998-2006(1)(11),,,,,,:j=f(kt)=-+n(12),,,,;,,,,;n,,,n,,,,,(),,,,5,();1,(),,;,();,(2),,,,,(3),1998-2006,(5)11998-2006:%CPI151998313316-018417781010196159171999-015012-114212561210184158142000219419014119861210182146162001218315017119861210172106122002317317-0181198517601631471220034195101122125517601611751220041510161031921256112016-1112182005191518161182125613901611151220061912171521031606148016110411:,(1)11998-2006,1,1998-2006:1998-1999,,(2005),1998-1999;2000-2002,1,,,;2003-2006,,,,,,,,,,,,,1.,701,,,,,,,,,,,,,,,2.,,,,,,,,,,,,,3.,:,,,,,,,,:,,,;4.,:,,,,,,,;,,,,,;,,,,,,,,,,,,,1998-2006:,,,,,;,,,;,,,,,;,,,,[1]J.[M].:,2001.49.[2].[M].:,2005.32.[3].[J].,1998(6):1-4.[4]LeRoy,S.andR.Porter.ThePresentValueRelation:TestBasedonVari2anceBounds[J].Econometrica,1981,49:555-574.[5]Shiller,R.J.Rationalexpectationsandthedynamicstructureofmacroeco2nomicmodels:Acriticalreview[J].JournalofMonetaryEconomics,1979,5:1-44.[6]Shiller,R.J.Dostockpricesmovetoomuchtobejustifiedbysubsequentchangesindividends?[J].AmericanEconomicReview,1981,71:421-436.[7]Levin,E.J.,Wright,R.E.TheimpactspeculationonhousepricesintheUnitedKingdom[J].Econ.Modell.1997,14:567-585.[8].[J].,2006(5):141-144.[9],.[J].,2005(8):75-80.:1920,,,,;,(J.[M].:,2001,48-55)80120081