IMPLICATIONS OF SECURITY MARKET DATA FOR MODELS OF DYNAMIC ECONOMIES
IMPLICATIONS OF SECURITY MARKET DATA FOR MODELS OF DYNAMIC ECONOMIES
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DOI：
10.1086/261749
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发表时间：
1991-04-01
影响因子：
8.2
通讯作者：
JAGANNATHAN, R
中科院分区：
文献类型：
--
作者：
HANSEN, LP;JAGANNATHAN, R
我们展示了如何使用证券市场数据来限制消费者跨期边际替代率（IMRSs）的均值和标准差的可接受区域。我们的方法(i)是非参数的，适用于动态经济的丰富模型类别，（ii）表征了imrs的均值-标准差边界和熟悉的资产回报的均值-标准差边界之间的对偶性，以及（iii）利用了imrs是正随机变量的限制。从跨期资产定价理论的角度来看，该地区提供了对资产市场数据异常意义的方便总结。
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.