TY  - BOOK
AU  - Kramer,Charles Frederick
TI  - Macroeconomic Fluctuations and Equilibrium Discount Factors
T2  - IMF Working Papers; Working Paper
SN  - 1451940882 :
SN  - 1018-5941
PY  - 1996///
CY  - Washington, D.C.
PB  - International Monetary Fund
KW  - Linear Model
KW  - imf
KW  - Statistics
KW  - Stochastic Discount
KW  - Stock Returns
KW  - Time Series
N2  - The estimation of discount factors is a central issue in empirical finance, particularly in the literature on excess volatility. In particular, it is difficult to find empirical discount factors that are volatile enough to account for fluctuations in asset prices. This paper constructs discount factors from some macroeconomic time series commonly used in empirical models of asset prices. Data for the U.S. stock market imply some evidence that discount factors relate to macroeconomic conditions, but comparison of the estimated discount factors to Hansen-Jagannathan (1991) bounds shows that the candidate discount factors cannot account for the volatility in asset returns
UR  - http://elibrary.imf.org/view/IMF001/04382-9781451940886/04382-9781451940886/04382-9781451940886.xml
UR  - http://www.imfbookstore.org/IMFORG/9781451940886
ER  -