A generalized volatility bound for dynamic economies

• 成果类型: Article
• 署名作者: Otrok, Christopher; Ravikumar, B.; Whiteman, Charles H.
• 署名单位: University of Virginia; University of Iowa
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2007.06.028
• 发表日期: 2007
• 页码: 2269-2290
• 关键词: volatility bound; spectral; asset-pricing

摘要

We develop a generalization of the Hansen-Jagannathan (1991) volatility bound that (i) incorporates the serial correlation properties of return data and (ii) allows us to calculate a spectral version of the bound. This generalization enables us to judge whether models match important aspects of the data in the long run, at business cycle frequencies, seasonal frequencies, etc. Our bound permits evaluation of models without requiring their explicit solution in a way that respects the dynamic implications of the fundamental component of the models, namely, the Euler equation that links asset returns to the intertemporal marginal rate of substitution. (c) 2007 Elsevier B.V. All rights reserved.