Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth
2005; Wiley; Volume: 73; Issue: 6 Linguagem: Inglês
10.1111/j.1468-0262.2005.00643.x
ISSN1468-0262
AutoresFernando Álvarez, Urban J. Jermann,
Tópico(s)Economic theories and models
ResumoEconometricaVolume 73, Issue 6 p. 1977-2016 Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth Fernando Alvarez, Fernando Alvarez Dept. of Economics, University of Chicago, Chicago, IL 60637, U.S.A.; and NBER; [email protected]and Dept. of Finance, The Wharton School, University of Pennsylvania, 3620 Locust Walk, Philadelphia, PA 19104-6367, U.S.A.; and NBER; jerma[email protected]; http://finance.wharton.upenn.edu/~jermann.Search for more papers by this authorUrban J. Jermann, Urban J. Jermann We thank Andy Atkeson, Erzo Luttmer, Lars Hansen, Pat Kehoe, Bob King, Narayana Kocherlakota, Stephen Leroy, Lee Ohanian, and the participants in workshops and conferences at UCLA, the University of Chicago, the Federal Reserve Banks of Minneapolis, Chicago, and Cleveland, and Duke, Boston, Ohio State, Georgetown, and Yale Universities, NYU, Wharton, the SED meeting in Stockholm, SITE, the Minnesota workshop in macroeconomic theory, and ESSFM for their comments and suggestions. We thank Robert Bliss for providing the data for U.S. zero-coupon bonds. Alvarez thanks the NSF and the Sloan Foundation for support. Earlier versions of this paper were circulated under the title “The Size of the Permanent Component of Asset Pricing Kernels.”Search for more papers by this author Fernando Alvarez, Fernando Alvarez Dept. of Economics, University of Chicago, Chicago, IL 60637, U.S.A.; and NBER; [email protected]and Dept. of Finance, The Wharton School, University of Pennsylvania, 3620 Locust Walk, Philadelphia, PA 19104-6367, U.S.A.; and NBER; jerma[email protected]; http://finance.wharton.upenn.edu/~jermann.Search for more papers by this authorUrban J. Jermann, Urban J. Jermann We thank Andy Atkeson, Erzo Luttmer, Lars Hansen, Pat Kehoe, Bob King, Narayana Kocherlakota, Stephen Leroy, Lee Ohanian, and the participants in workshops and conferences at UCLA, the University of Chicago, the Federal Reserve Banks of Minneapolis, Chicago, and Cleveland, and Duke, Boston, Ohio State, Georgetown, and Yale Universities, NYU, Wharton, the SED meeting in Stockholm, SITE, the Minnesota workshop in macroeconomic theory, and ESSFM for their comments and suggestions. We thank Robert Bliss for providing the data for U.S. zero-coupon bonds. Alvarez thanks the NSF and the Sloan Foundation for support. Earlier versions of this paper were circulated under the title “The Size of the Permanent Component of Asset Pricing Kernels.”Search for more papers by this author First published: 11 October 2005 https://doi.org/10.1111/j.1468-0262.2005.00643.xCitations: 223 AboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onEmailFacebookTwitterLinkedInRedditWechat Abstract We derive a lower bound for the volatility of the permanent component of investors' marginal utility of wealth or, more generally, asset pricing kernels. 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