Tallarini, Thomas D.; Yaron, Amir; Bansal, Ravi - Society for Economic Dynamics - SED - 2008
We estimate a consumption-based asset pricing model with Epstein-Zin (1989) preferences. The intertemporal marginal rate of substitution (IMRS) depends on the return on total wealth. Rather than use the stock market as a proxy for wealth, we construct a more comprehensive return: we include the...