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Implications of Security Market Data for Models of Dynamic Economies
Abstract
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.
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Citations
Cited by
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Barberis, N., Huang, M., & Santos, T. (2001) · The Quarterly Journal of Economics · doi:10.1162/003355301556310 · Cited by 1,895
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Shiller, R. J. (2003) · Journal of Economic Perspectives · doi:10.1257/089533003321164967 · Cited by 1,835
Machine Learning vs. Economic Restrictions: Evidence from Stock Return Predictability
Avramov, D., Cheng, S., & Metzker, L. (2023) · Management Science · doi:10.1287/mnsc.2022.4449 · Cited by 217
Microeconometrics with partial identification
(2020) · Handbook of Econometrics · doi:10.1016/bs.hoe.2020.05.002 · Cited by 99
Machine Learning Versus Economic Restrictions: Evidence from Stock Return Predictability
Avramov, D., Cheng, S., & Metzker, L. (2019) · SSRN Electronic Journal · doi:10.2139/ssrn.3450322 · Cited by 74
Metadata
- Authors
- Hansen, L. P., & Jagannathan, R.
- Venue
- Journal of Political Economy
- Publisher
- University of Chicago Press
- Published
- 1991-04
- Volume
- 99
- Issue
- 2
- Pages
- 225-262
- ISSN
- 0022-3808 (ISSN-L)
- 1537-534X
- OpenAlex
- W3124704119
- Cited by
- 1,178
- References
- 0
- FWCI
- 54.07
- Type
- journal article
- Language
- en
- Open access
- closed
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- Hansen, L. P., & Jagannathan, R. (1991). Implications of Security Market Data for Models of Dynamic Economies. Journal of Political Economy. https://doi.org/10.1086/261749
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