Abstract Using historical data spanning almost 150 years, we examine whether there is a long-run equilibrium relationship between the stock's earnings and bond yields. The novelty of our econometric methodology consists in using a vector error correction model where we allow multiple structural breaks in the equilibrium relationship. The results of our analysis suggest the existence of an equilibrium relationship over 1871–1932 and 1958–2017. On the two historical segments, our analysis finds that the stock's earnings yield followed the bond yield in both the short run and long run, but not the other way around. Perhaps the most important and surprising finding of our empirical study is that, after the break in 1932, a completely new equilibrium relationship re-emerged in 1958 that was later termed the “Fed model.” Our main argument for the emergence of a new equilibrium relationship is that a major “paradigm shift” in the stock valuation theory occurred in the late 1950s. To support our argument, we highlight the main historical events that potentially could have caused the transition from the old to the new paradigm. Finally, we identify the primary impetus for the paradigm shift.

中文翻译：

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1871 年至 2017 年美国的股票收益和债券收益率：关系变化的故事

摘要 利用跨越近 150 年的历史数据，我们检验了股票收益与债券收益率之间是否存在长期均衡关系。我们计量经济学方法的新颖之处在于使用向量误差校正模型，在该模型中，我们允许均衡关系中出现多个结构性断裂。我们的分析结果表明，1871-1932 年和 1958-2017 年之间存在均衡关系。在这两个历史细分市场中，我们的分析发现股票的收益收益率在短期和长期都跟随债券收益率，但反之则不然。也许我们的实证研究最重要和最令人惊讶的发现是，在 1932 年中断之后，一种全新的均衡关系在 1958 年重新出现，后来被称为“美联储模型”。我们对新均衡关系出现的主要论点是，股票估值理论的重大“范式转变”发生在 1950 年代后期。为了支持我们的论点，我们强调了可能导致从旧范式向新范式转变的主要历史事件。最后，我们确定了范式转变的主要动力。