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1篇 您的检索式：作者名="Peter C.Coyte"

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		题名	作者	年代	出处	被引量
	1	Quasi-variable Discount Rates and Market Volatility: An Empirical Study显示文摘This paper proposes an assumption of quasi-variable discount rates to explain the excess volatility puzzle of stock market. Under the assumption, the ARMAX model is derived based on the CCAPM model and CRRA utility function to describe the linear relationship between the discount rate and the consumption growth rate. We conducted empirical research on this model using historical data of the US stock market. The results confirm a significantly negative relationship between consumption growth rate and discount rate. Subsequently, the results of Monte Carlo simulation show that given the risk preference coefficient and dividend sequence, the rational expectations price fluctuation obtained under the assumption of quasivariable discount rate is the largest.	Pengju Zhao Wei Zhang Xi Wu Peter C.Coyte	2023	Journal of Systems Science and Systems Engineering2023，32，5：	0

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