We use asset returns to characterize the properties of the pricing kernel, including its volatility (measured by entropy) and time-dependence. Then we explore similar properties of a number of popular representative agent models: long-run risk, time-varying volatility and risk, several versions...

In this paper we are concerned with what drives international capital flows. The estimated spectra of net foreign asset positions show that they are driven almost entirely by low frequency components which argues against many of the dire warnings that are issued about short term adjustments in...

Asset pricing implications for business cycle analysis David Backus, Bryan Routledge, and Stanley Zin Although the stochastic growth model has become the benchmark for business cycle analysis, many of its implications for asset prices and returns are grossly counterfactual. For example, the...

We examine international risk-sharing in economies with non-additive preferences. Examples based on the Epstein-Zin class with Chew-Dekel risk preferences in some cases exhibit quantitatively different behavior from expected utility. We explore the implications for international risk sharing and...