Exchange rates depreciate by the difference between the domestic and foreign marginal utility growths. Exchange rates … vary a lot , as much as 10% per year. However, equity premia imply that marginal utility growths vary much more, by at … least 50% per year. This means that marginal utility growths must be highly correlated across countries -- international …

We propose a new model of exchange rates, which yields a theory of the forward premium puzzle. Our explanation combines …

equilibrium model with recursive utility, search frictions, and capital accumulation yields a high equity premium of 4.26% per …

durable goods. We show that consumers' utility and discount functions in a dynamic discrete choice model are jointly … identified using data generated by this specific design. In contrast, based on revealed preference data, the utility and discount …

operators and another that exploits the theory of monotone concave operators - we obtain conditions that are both necessary and …

This paper surveys the field of asset pricing. The emphasis is on the interplay between theory and empirical work, and …