Using asset prices to measure the persistence of the marginal utility of wealth

• 成果类型: Article
• 署名作者: Alvarez, F; Jermann, UJ
• 署名单位: University of Chicago; University of Pennsylvania; National Bureau of Economic Research
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.1111/j.1468-0262.2005.00643.x
• 发表日期: 2005
• 页码: 1977-2016
• 关键词: business-cycle; aggregate fluctuations; time-series; consumption; RISK; equilibrium; economies; BEHAVIOR; habit

摘要

We derive a lower bound for the volatility of the permanent component of investors' marginal utility of wealth or, more generally, asset pricing kernels. The bound is based on return properties of long-term zero-coupon bonds, risk-free bonds, and other risky securities. We find the permanent component of the pricing kernel to be very volatile; its volatility is about at least as large as the volatility of the stochastic discount factor. A related measure for the transitory component suggest it to be considerably less important. We also show that, for many cases where the pricing kernel is a function of consumption, innovations to consumption need to have permanent effects.