Estimating the Expected Marginal Rate of Substitution: Exploiting Idiosyncratic Risk
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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
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美国国家经济研究局创建时间：
2004-10-01
