In this paper, Bekaert et al.’s (2010) model is modified by allowing consumption growth to depend on dividend yield rather than dividend growth. With a simplified inflation dynamic, the general equilibrium model is characterized by a system of linear and affine stochastic equations. From these equations, a closed-form solution jointly pricing equity and bonds is derived. The generalized method of moments is used to demonstrate that our model’s calibrated moments broadly match the first and second moments of stocks, bonds, and other macroeconomic variables in the US. Our estimated equity premium is 6.0%, which closely matches its actual value of 5.6%. The predicted risk aversion is countercyclical. Moreover, an out-of-sample test indicates the significant improvement of predictive power on the price–dividend ratio over Campbell and Cochrane’s (1999) model. Our model can further capture the dramatic increase in the price–dividend ratio after the 1990s.

在本文中，Bekaert 等人（2010 年）的模型经过修改，允许消费增长取决于股息收益率而不是股息增长。通过简化的通货膨胀动态，一般均衡模型的特点是线性和仿射随机方程系统。从这些方程可以得出一个封闭形式的解决方案，联合定价股票和债券。广义矩方法用于证明我们模型的校准矩大致匹配美国股票、债券和其他宏观经济变量的一阶和二阶矩。我们估计的股权溢价为 6.0%，与其 5.6% 的实际价值非常接近。预测的风险规避是反周期的。而且，样本外测试表明，与 Campbell 和 Cochrane (1999) 的模型相比，价格-股息率的预测能力显着提高。我们的模型可以进一步捕捉 1990 年代后市盈率的急剧上升。