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Implications of Security Market Data for Models of Dynamic Economies
Open accessAbstract
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.
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Cited by
Arbitrage Theory in Continuous Time
Björk, T. (2004) · doi:10.1093/0199271267.001.0001 · Cited by 940
Ang, A., & Piazzesi, M. (1999) · SSRN Electronic Journal · doi:10.2139/ssrn.194748 · Cited by 543
Financial Markets and the Real Economy
Cochrane, J. H. (2008) · Handbook of the Equity Risk Premium · doi:10.1016/b978-044450899-7.50014-2 · Cited by 543
Robust Permanent Income and Pricing
Hansen, L. P., Sargent, T. J., & Tallarini, T. D. (1999) · Review of Economic Studies · doi:10.1111/1467-937x.00112 · Cited by 472
Self-citationROSS, S. (2015) · The Journal of Finance · doi:10.1111/jofi.12092 · Cited by 353
Metadata
- Authors
- Hansen, L. P., & Jagannathan, R.
- Publisher
- Federal Reserve Bank of Minneapolis
- Published
- 1990-04-01
- OpenAlex
- W2079241824
- Cited by
- 499
- References
- 0
- Type
- posted content
- Language
- en
- Open access
- gold
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