Research Details

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.

Type

Article

Author(s)

LarsPeter Hansen, Ravi Jagannathan

Date Published

1991

Citations

Hansen, LarsPeter, and Ravi Jagannathan. 1991. Implications of security market data for models of dynamic economies. Journal of Political Economy.(2): 225-262.