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This paper develops a simple but general methodology to estimate the expected intertemporal marginal rate of substitution or "EMRS", using only data on asset prices and returns. Our empirical strategy is general, and allows the EMRS to vary arbitrarily over time. A novel feature of our technique...
Persistent link: https://www.econbiz.de/10012467884
of both data and estimation. We find that expected risk-free rates vary dramatically over time, unlike short interest …
Persistent link: https://www.econbiz.de/10012468817