作者：GRILLI, V; KAMINSKY, G
作者单位：Centre for Economic Policy Research - UK; National Bureau of Economic Research; University of California System; University of California San Diego
作者：ROGERSON, R; RUPERT, P
作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY
作者：SVENSSON, LEO
作者单位：Centre for Economic Policy Research - UK; National Bureau of Economic Research
作者：LEWIS, KK
摘要：Empirical studies of the restrictions implied by the intertemporal capital asset pricing model across different asset markets have found conflicting evidence. This paper asks whether an auxiliary assumption implicit in these tests could be responsible for the pattern of rejections. This auxiliary assumption requires that covariances of returns with consumption move in constant proportion over time. The paper tests this condition empirically using data on foreign exchange, bonds, and equity ret...
作者：LEHMANN, BN
作者单位：National Bureau of Economic Research
作者：BALKE, NS; FOMBY, TB
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Dallas
