TY  - JOUR
AU  - Cecchetti,Stephen G.
AU  - Lam,Pok-sang
AU  - Mark,Nelson C.
TI  - Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 124
PY  - 1992
Y2  - July 1992
UR  - http://www.nber.org/papers/t0124
L1  - http://www.nber.org/papers/t0124.pdf
N1  - Author contact info:
Stephen G. Cecchetti
Monetary and Economic Department
Bank for International Settlements
Centralbahnplatz 2
4002 Basel
SWITZERLAND
Tel: +41 61 280 8350
Fax: +41 61 280 9113
E-Mail: stephen.cecchetti@bis.org

Pok-Sang Lam
Department of Economics
Ohio State University
1945 North High Street
Columbus, OH   43210-1172
Tel: 614/292-6702

Nelson Mark
Department of Economics
University of Notre Dame
434 Flanner
Notre Dame, IN  46556
Tel: 574/631-0518
Fax: 574/631-4783
E-Mail: nmark@nd.edu
AB  - The 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.
ER  -