01874cam a22002777 4500001000600000003000500006005001700011008004100028100002600069245020700095260006600302490005100368500001500419520055300434530006100987538007201048538003601120690008801156690011201244700001901356700002001375710004201395830008601437856003701523856003601560t0124NBER20160503094226.0160503s1992 mau||||fs|||| 000 0 eng d1 aCecchetti, Stephen G.10aTesting Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returnsh[electronic resource] /cStephen G. Cecchetti, Pok-sang Lam, Nelson C. Mark. aCambridge, Mass.bNational Bureau of Economic Researchc1992.1 aNBER technical working paper seriesvno. t0124 aJuly 1992.3 aThe Euler equations derived from a broad range of intertemporal asset pricing models, together with the first two unconditional moments of asset returns, imply a lower bound on the volatility of the intertemporal marginal rate of substitution. We develop and implement statistical tests of these lower bound restrictions. We conclude that the availability of relatively short time series of consumption data undermines the ability of tests that use the restrictions implied by the volatility bound to discriminate among different utility functions. aHardcopy version available to institutional subscribers. aSystem requirements: Adobe [Acrobat] Reader required for PDF files. aMode of access: World Wide Web. 7aE44 - Financial Markets and the Macroeconomy2Journal of Economic Literature class. 7aG12 - Asset Pricing • Trading Volume • Bond Interest Rates2Journal of Economic Literature class.1 aLam, Pok-sang.1 aMark, Nelson C.2 aNational Bureau of Economic Research. 0aTechnical Working Paper Series (National Bureau of Economic Research)vno. t0124.4 uhttp://www.nber.org/papers/t012441uhttp://dx.doi.org/10.3386/t0124