TY  - JOUR
AU  - Cochrane,John H.
AU  - Hansen,Lars Peter
TI  - Asset Pricing Explorations for Macroeconomics
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 4088
PY  - 1993
Y2  - April 1993
UR  - http://www.nber.org/papers/w4088
L1  - http://www.nber.org/papers/w4088.pdf
N1  - Author contact info:
John H. Cochrane
Booth School of Business
University of Chicago
5807 S. Woodlawn
Chicago, IL  60637
Tel: 773/702-3059
Fax: 773/702-0458
E-Mail: john.cochrane@chicagobooth.edu

Lars P. Hansen
Department of Economics
The University of Chicago
1126 East 59th Street
Chicago, IL 60637
Tel: 773/702-8170
Fax: 773/702-8490
E-Mail: lhansen@uchicago.edu
M1  - published as John H. Cochrane, Lars Peter Hansen. "Asset Pricing Explorations for Macroeconomics," in Olivier Jean Blanchard and Stanley Fischer, editors, "NBER Macroeconomics Annual 1992, Volume 7" MIT Press (1992)

AB  - In this paper we argue that financial data are a useful proving ground for macroeconomic models, and we explore the channels that link asset market data to such models. We use Hansen and Jagannathan's bounds on the mean and standard deviation of discount factors to survey several asset pricing puzzles. We then extend the bounds to reflect the correlation of discount factors with asset returns and to characterize conditional moments of discount factors. These characterizations help us to understand the behavior of a variety of models studied in the literature. We also incorporate borrowing constraints into the calculations. The borrowing constraints loosen the required properties of aggregate measurements of intertemporal marginal rates of substitution, but also sharpen the implications of asset market data for the marginal rates of substitution of unconstrained individuals.
ER  -