The co-movement of stock prices and the risk-free rate in the United States is weak in terms of the correlation and variance decomposition. It is essential for investors and policymakers to understand such co-movement, especially when several well-known asset pricing models imply a much stronger relationship than the one empirically observed. To explain this inconsistency, this paper presents a model with “internally rational” agents who optimally update their subjective beliefs about stock prices. Compared with the risk-free rate, agents’ subjective beliefs are essential for generating stock market volatility. Quantitatively, our model can jointly produce basic asset market facts and the weak co-movement.

就相关性和方差分解而言，美国股票价格和无风险利率的共同作用较弱。对于投资者和政策制定者来说，了解这种共同变化至关重要，尤其是当几种著名的资产定价模型暗示了一种比经验观察到的关系更为牢固的关系时。为了解释这种矛盾，本文提出了一个具有“内部理性”行为主体的模型，这些主体可以最佳地更新其对股票价格的主观信念。与无风险利率相比，代理商的主观信念对于引起股市波动至关重要。从数量上讲，我们的模型可以共同产生基本的资产市场事实和疲软的联动。