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

By:

Hansen, Lars Peter

Contributor(s):

Material type: Text

TextSeries: Technical Working Paper Series (National Bureau of Economic Research) ; no. t0089.Publication details: Cambridge, Mass. National Bureau of Economic Research 1990.Description: 1 online resource: illustrations (black and white)Subject(s):

E - Macroeconomics and Monetary Economics

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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 (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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Item type	Home library	Collection	Call number	Status	Date due	Barcode	Item holds
Working Paper	Biblioteca Digital	Colección NBER	nber t0089 (Browse shelf(Opens below))	Not For Loan

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Previous	nber t0086 Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors /	nber t0087 Simulated Moments Estimation of Markov Models of Asset Prices /	nber t0088 Does Correcting for Heteroskedasticity Help? /	nber t0089 Implications of Security Market Data for Models of Dynamic Economies /	nber t0090 Spectral Based Testing of the Martingale Hypothesis /	nber t0091 Testing For Common Features /	nber t0092 Testing The Autocorrelation Structure of Disturbances in Ordinary Least Squares and Instrumental Variables Regressions /	Next

May 1990.

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.