@techreport{NBERw15222,
 title = "Asset Return Dynamics under Bad Environment Good Environment Fundamentals",
 author = "Geert Bekaert and Eric Engstrom",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "15222",
 year = "2009",
 month = "August",
 URL = "http://www.nber.org/papers/w15222",
 abstract = {We introduce a "bad environment-good environment" technology for consumption growth in a consumption- based asset pricing model.  Using the preference structure from Campbell and Cochrane (1999), the model generates realistic time-varying volatility, skewness and kurtosis in fundamentals while still permitting closed-form solutions for asset prices.  The model not only fits standard salient asset prices features including means and volatilities for equity returns and risk free rates, but also generates a realistic variance premium and option prices.},
}