Research Publication

April 1983 | Article

Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns

Lars Peter Hansen, Kenneth J. Singleton

This paper studies the time-series behavior of asset returns and aggregate consumption. Using a representative consumer model and imposing restrictions on preferences and the joint distribution of consumption and returns, we deduce a restricted log-linear time-series representation. Preference parameters for the representative  agent are estimated and the implied restrictions are tested using postwar data.

Journal: Journal of Political Economy|Volume: 91|Issue Number: 2|Pages: 249-265|Tags: Econometrics, Financial Market Linkages to the Macroeconomy|Export BibTeX >

@article{hansensingleton:1983,
title={Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns},
author={Hansen, Lars Peter and Singleton, Kenneth J},
journal={Journal of political economy},
volume={91},
number={2},
pages={249–265},
year={1983},
publisher={The University of Chicago Press}
}