Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth

DOI10.1111/J.1468-0262.2005.00643.XMaRDI QIDQ5393923zbMATH OpenOpenAlexWikidataFDO

Authors

Publication date 24 October 2006

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1468-0262.2005.00643.x

zbMATH Keywords

permanent componentpricing kernelstochastic discount factorunit roots

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

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Cited in

(23)

• Happiness maintenance and asset prices
• Long-term factorization in Heath-Jarrow-Morton models
• Asset prices with non-permanent shocks to consumption
• Long-term factorization of affine pricing kernels
• Weak time-derivatives and no-arbitrage pricing
• On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century and beyond
• Stability of equilibrium asset pricing models: a necessary and sufficient condition
• Existence and uniqueness of recursive utilities without boundedness
• Functional Ross recovery: theoretical results and empirical tests
• Correspondence between lifetime minimum wealth and utility of consumption
• Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing
• Nonparametric identification of positive eigenfunctions
• Examining macroeconomic models through the lens of asset pricing
• Robust identification of investor beliefs
• A simple robust asset pricing model under statistical ambiguity
• Numerical Ross recovery for diffusion processes using a PDE approach
• Business-cycle consumption risk and asset prices
• Infinite debt rollover in stochastic economies
• Robust inference for moment condition models without rational expectations
• Long-term risk with stochastic interest rates
• Constrained Polynomial Likelihood
• The U.S. public debt valuation puzzle
• Long run forward rates and long yields of bonds and options in heterogeneous equilibria

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