Implications of Security Market Data for Models of Dynamic Economies / Lars Peter Hansen, Ravi Jagannathan.

Format:

Book

Author/Creator:

Hansen, Lars Peter.

Contributor:

National Bureau of Economic Research.

Jagannathan, Ravi.

Series:

Technical Working Paper Series (National Bureau of Economic Research) no. t0089.

NBER technical working paper series no. t0089

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1990.

Summary:

We show how to use security market data to restrict the admissible region for means and standard deviations of intertemporal marginal rates of substitution (IMRS's) of consumers. Our approach is (i) nonparametric and applies to a rich class of models of dynamic economies; (ii) characterizes the duality between the mean-standard deviation frontier for IMRS's and the familiar mean-standard deviation frontier for asset returns; and (iii) exploits the restriction that IMRS's are positive random variables. The region provides a convenient summary of the sense in which asset market data are anomalous from the vantage point of intertemporal asset pricing theory.

Notes:

Print version record

May 1990.