Estimating the Expected Marginal Rate of Substitution: Exploiting Idiosyncratic Risk
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https://www.nber.org/papers/w10805
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
2004-10-01
