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Implications of Security Market Data for Models of Dynamic Economies

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Author Info
Lars Peter Hansen
Ravi Jagannathan

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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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Paper provided by National Bureau of Economic Research, Inc in its series NBER Technical Working Papers with number 0089.

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Date of creation: May 1990
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Publication status: published as Journal of Political Economy, Vol. 99, No. 2, pp. 225-262, (1991).
Handle: RePEc:nbr:nberte:0089

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