Details

Autor(en) / Beteiligte

• Hansen, Lars Peter
• Jagannathan, Ravi

Titel

Implications of Security Market Data for Models of Dynamic Economies

Ist Teil von

• The Journal of political economy, 1991-04, Vol.99 (2), p.225-262

Ort / Verlag

Chicago: The University of Chicago Press

Erscheinungsjahr

1991

Quelle

Worldwide Political Science Abstracts

Beschreibungen/Notizen

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