Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns
基于跨期资产定价模型的欧拉方程和资产收益率的无条件矩，推导出跨期边际替代率波动性的下界，并开发统计检验方法。研究发现，即使消费数据时间序列短，多种金融数据集仍对现有资产定价理论构成挑战。
ABSTRACT The Euler equations derived from intertemporal asset pricing models, together with the unconditional moments of asset returns, imply a lower bound on the volatility of the intertemporal marginal rate of substitution. This paper develops and implements statistical tests of these lower bound restrictions. While the availability of short time series of consumption data often undermines the ability of these tests to discriminate among different utility functions, we find that the restrictions implied by a number of widely studied financial data sets continue to pose quite a challenge to the current generation of intertemporal asset pricing theories.