Estimating the expected marginal rate of substitution: A systematic exploitation of idiosyncratic risk
نویسندگان
چکیده
منابع مشابه
Estimating the Expected Marginal Rate of Substitution: A Systematic Exploitation of Idiosyncratic Risk
This paper develops a simple but general methodology to estimate the expected intertemporal marginal rate of substitution or “EMRS”, using only data on asset prices and returns. Our empirical strategy is general, and allows the EMRS to vary arbitrarily over time. A novel feature of our technique is that it relies upon exploiting idiosyncratic risk, since theory dictates that idiosyncratic shock...
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This paper applies a new methodology to estimate the expected intertemporal marginal rate of substitution or “EMRS”, using only data on asset prices and returns. A novel feature of the technique is that it relies upon exploiting idiosyncratic risk, since theory dictates that idiosyncratic shocks earn the EMRS. I apply the methodology to two different data sets: monthly data from 1994 through 20...
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ژورنال
عنوان ژورنال: Journal of Monetary Economics
سال: 2005
ISSN: 0304-3932
DOI: 10.1016/j.jmoneco.2005.07.008