Is Economic Uncertainty a Valid Intertemporal CAPM State Variable?
本文检验经济不确定性是否满足Merton跨期资本资产定价模型的理论要求，发现其创新项在横截面上的协方差风险价格不显著，不符合ICAPM的符号限制。
Abstract This paper evaluates whether economic uncertainty is consistent with the Merton (1973) intertemporal CAPM (ICAPM) theory. The economic uncertainty index of Jurado, Ludvigson and Ng (2015) consistently predicts a significant increase in stock market volatility. However, its innovation carries a statistically insignificant price of covariance risk in the cross-section, thereby failing to satisfy the Maio and Santa-Clara (2012) sign restrictions associated with the ICAPM. I also find robust evidence by using the level of the economic uncertainty index. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.